Internet Appendix for Why Do Foreign Firms Leave U.S. Equity

Transcription

Internet Appendix for
Why Do Foreign Firms Leave U.S. Equity Markets?
CRAIG DOIDGE, G. ANDREW KAROLYI, and RENÉ M. STULZ ∗
∗
Citation format: Doidge, Craig, G. Andrew Karolyi, and René M. Stulz, Internet Appendix for "Why Do
Foreign Firms Leave U.S. Equity Markets?" Journal of Finance DOI: 10.1111/j.1540-6261.2010.01577.x.
Please note: Wiley-Blackwell is not responsible for the content or functionality of any supporting information
supplied by the authors. Any queries (other than missing material) should be directed to the authors of the article.
Doidge, Karolyi, and Stulz (2010) provide an empirical analysis of foreign firms that voluntarily
delist and deregister from U.S. equity markets. This Internet Appendix contains robustness tests (Tables
IA.II to IA.IX) that accompany the results published in Doidge, Karolyi, and Stulz (2010). The specific
robustness tests provided for each table are described below. In the legend for each table in this appendix,
the underlined text in bold indicates how the Internet Appendix table differs from the table reported in
the paper. The Internet Appendix also contains the list of firms included / excluded from the sample
(Tables IA.X and XI). Note that the table numbers in the Internet Appendix correspond to their analogues
in the main text; there is no “Table IA.I” in the Internet Appendix.
Table IA.II
Table IA.II.a uses a size cutoff of $100 million in total assets instead of a $10 million cutoff. Table
IA.II.b includes 10 firms that announced voluntary delisting, but were at risk of being involuntarily
delisted, had previously received a delisting notice from the exchange, or were subject to SEC
investigations. That is, even though the firm announced a voluntary delisting, the announcement was
likely a preemptive action for an inevitable involuntary delisting. In Table IA.II.c, the standard errors are
calculated using two-way clustering on firms and on years. Results for Models (4) and (5) are not
reported. In these models, there are fewer years in the regressions because firms are split into pre-Rule
12h-6 and Rule 12h-6 groups – for the Rule 12h-6 group there are only two time periods.
Table IA.III
Table IA.III.a uses a size cutoff of $100 million in total assets instead of a $10 million cutoff. Table
IA.III.b includes 10 firms that announced voluntary delisting, but were at risk of being involuntarily
likely a preemptive action for an inevitable involuntary delisting. In Table IA.III.c, we use value-weighted
portfolios instead of equal-weighted portfolios.
Table IA.IV
Table IA.IV.a shows abnormal stock-price reactions around the individual SOX announcement dates.
Table IA.IV.b uses a size cutoff of $100 million in total assets instead of a $10 million cutoff. Table
IA.IV.c includes 10 firms that announced voluntary delisting, but were at risk of being involuntarily
likely a preemptive action for an inevitable involuntary delisting. In Table IA.IV.d, Rb is an equalweighted portfolio return rather than a value-weighted portfolio return. In Table IA.IV.e, Rp is a valueweighted portfolio return rather than an equal-weighted return. In Table IA.IV.f, we define the event
windows as in Litvak (2007). In Table IV, the event dummies are set equal to one (minus one) for the day
of the event, the day before the event, and the day after the event for the events that are expected to have a
negative (positive) impact. In Table IA.IV.f, we follow the convention used in Litvak (2007), Table 1 to
define the event dummies. For example, for the early SEC announcement on January 17, we set the event
dummy to one on January 16, 17, and 18, whereas Litvak sets it to one on January 18.
Table IA.V
Table IA.V.a uses a size cutoff of $100 million in total assets instead of a $10 million cutoff. Table
IA.V.b includes 10 firms that announced voluntary delisting, but were at risk of being involuntarily
likely a preemptive action for an inevitable involuntary delisting. In Table IA.V.c, the CARs are
computed relative to an equal-weighted benchmark portfolio instead of a value-weighted benchmark
portfolio.
1
Table IA.VI
Table IA.VI.a uses a size cutoff of $100 million in total assets instead of a $10 million cutoff. In
Table IA.VI.b, Rb is an equal-weighted portfolio return rather than a value-weighted portfolio return. In
Table IA.VI.c, Rp is a value-weighted portfolio return rather than an equal-weighted return. In Table
IA.VI.d, we define the event windows as in Fernandes, Lel, and Miller (2010). For example, in Table VI,
for the March 21, 2007 event, we set the event dummy equal to one on March 20, 21, and 22, while
Fernandes, Lel, and Miller (2010) set the dummy to one on March 21, 22, and 23. Table IA.VI.e
considers three additional Rule 12h-6 announcement dates on February 9, 2004, January 25, 2005, and
March 18, 2005.
Table IA.VII
Table IA.VII.a uses a size cutoff of $100 million in total assets instead of a $10 million cutoff. In
Table IA.VII.b, we substitute the variable “Disclosure” from Djankov et al. (2008), for the “Anti-selfdealing” variable and in Table IA.VII.c, we substitute the variable “Accounting standards” from La Porta
et al. (1998) for the “Anti-self-dealing” variable. In Table IA.VII.d, the CARs are computed relative to an
equal-weighted benchmark portfolio instead of a value-weighted benchmark portfolio. In Table IA.VII.e,
the CARs are estimated around all three event windows listed in Table VI, rather than just around the
March 21, 2007 event date as in Table VII. Finally, in Table IA.VII.f, we use the March 21, 22, and 23
event window as in Fernandes, Lel, and Miller (2010) instead of March 20, 21, and 22 as in Table VII.
Table IA.VIII
Table IA.VIII.a uses a size cutoff of $100 million in total assets instead of a $10 million cutoff. Table
IA.VIII.b includes 10 firms that announced voluntary delisting, but were at risk of being involuntarily
likely a preemptive action for an inevitable involuntary delisting. In Table IA.VIII.c, the CARs are
computed relative to equal-weighted benchmark portfolios instead of value-weighted benchmark
portfolios.
Table IA.IX
Table IA.IX.a uses a size cutoff of $100 million in total assets instead of a $10 million cutoff. Table
IA.IX.b includes 10 firms that announced voluntary delisting, but were at risk of being involuntarily
investigations (two firms do not have complete data and are not included in the regression). In Table
IA.IX.c, the CARs are computed relative to an equal-weighted benchmark portfolio that includes all nonU.S. firms listed in the U.S. via Level 1 OTC or Rule 144a ADRs. In Table IA.IX.d (Table IA.IX.e), the
CARs are computed relative to an equal-weighted (value-weighted) benchmark portfolio that includes all
non-U.S. firms listed on a U.S. exchange that did not deregister.
Table IA.X
Table IA.X contains the list of firms included in the sample of voluntary deregistrations.
Table IA.XI
Table IA.XI contains the list of firms excluded from the sample of voluntary deregistrations and the
reason for exclusion.
2
REFERENCES
Brown, Stephen J., and Jerold B. Warner, 1985, Using daily stock returns: The case of event studies,
Journal of Financial Economics 14, 3-31.
Djankov, Simeon, Rafael La Porta, Florencio Lopez-de-Silanes, and Andrei Shleifer, 2008, The law and
economics of self-dealing, Journal of Financial Economics 88, 430-465.
Doidge, Craig, G. Andrew Karolyi, and René M. Stulz, 2010, Why do foreign firms leave U.S. equity
markets, Journal of Finance 65,1507-1553
Fama, Eugene, and Kenneth French, 1993, Common risk factors in the returns on stocks and bonds,
Journal of Financial Economics 33, 3-56.
Fernandes, Nuno G., Ugur Lel, and Darius P. Miller, 2010, Escape from New York: the market impact of
loosening disclosure requirements, Journal of Financial Economics 95, 129-147.
La Porta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer, and Robert Vishny, 1998, Law and
finance, Journal of Political Economy 106, 1113-1155.
Litvak, Kate, 2007, The effect of the Sarbanes-Oxley Act on non-U.S. companies cross-listed in the U.S.,
Journal of Corporate Finance 13, 195-228.
3
Table IA.II.a
Multi-period Logit Regressions: The Characteristics of Deregistering Firms
The logit models estimate the probability of deregistration in year t, given that the firm has not yet deregistered, over
the period from 2002 to 2008. Non-financial firms with at least $100m in total assets are included in the sample.
The dependent variable equals one for 130 non-U.S. firms that deregistered from major U.S. exchanges in the year
of deregistration (60 firms prior to Rule 12h-6 and 70 firms after Rule 12h-6). After firms deregister they are
removed from the data set. Models (1), (2), (3), and (6) include all firms with data on each firm characteristic. Model
(4) is estimated over 2002 to 2006 and excludes firms that deregistered after Rule 12h-6. Model (5) is estimated over
2007 to 2008 and excludes firms that deregistered prior to Rule 12h-6. Model (7) (Model (8)) is estimated for firms
with a positive (negative) financing deficit. The Rule 12h-6 dummy equals one for firms that deregistered after Rule
12h-6. Other variable definitions are in Table A.I in the paper. All independent variables are lagged by one year. The
t-statistics (in parentheses) are adjusted for clustering on firms – they are computed assuming observations are
independent across firms, but not within firms. Pseudo-R2 is a goodness-of-fit measure based on the difference
between unrestricted and restricted likelihood functions. *, **, and *** indicate statistical significance at the 10%,
5%, and 1% levels, respectively. #, ##, and ### indicate statistical significance for a chi-squared test that tests
whether the coefficients are equal between the pre-Rule12h-6 and Rule 12h-6 periods (Models (4) and (5)) or
between the positive and negative financing deficit samples (Models (7) and (8)). “Chi-squared” indicates the joint
test that all coefficients are equal between pre-Rule 12h-6 and Rule 12h-6 periods (Models (4) and (5)) or between
the positive and negative financing deficit samples (Models (7) and (8)).
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
-16.955
(5.19)***
-1.105
(1.63)
-2.647
(3.02)***
-0.154
(2.73)***
0.737
(1.39)
-0.878
(0.96)
0.412
(0.96)
1.473
(6.34)***
S&P rating
-20.498
(3.52)***
-5.268
(3.96)***
-1.096
(0.81)
-0.479
(3.35)***
0.347
(0.28)
1.088
(0.48)
0.136
(0.12)
2.853
(5.42)***
0.005
(0.25)
SOX CAR
-18.559
(4.69)***
-1.320
(1.69)*
-2.235
(2.23)**
-0.196
(3.05)***
1.187
(1.92)*
-0.627
(0.64)
0.954
(1.96)*
1.656
(6.50)***
-21.389
(3.51)***
-0.490
(0.54)
-2.648
(1.74)*
-0.456
(3.91)***
0.025
(0.03)
-0.765
(0.62)
1.755
(2.74)***
-18.142
(2.96)***
-2.437
(2.44)**
-2.066
(1.74)*
-0.034
(0.41)###
2.488
(2.80)***,##
0.513
(0.35)
0.357
(0.49)
-10.553
(0.60)
9.734
(0.35)
-28.435
(1.20)
FCF problem
O-score
Anti-self-dealing
Stock market cap / GDP
Log(GNP/capita)
-0.181
(0.31)
-0.273
(1.60)
1.526
(4.79)***
-0.109
(0.34)
2.261
(3.84)***
-0.340
(0.53)
-0.258
(1.38)
1.718
(4.57)***
2925
0.1579
1050
0.3570
2473
0.1834
Chi-square test (p-value)
Number of observations
Pseudo R2
4
0.928
-0.988
(0.84)
(1.18)
-0.708
-0.053
(2.40)**
(0.22)#
2.325
1.585
(3.88)***
(2.77)***
48.71 (0.00)
1889
0.1406
584
0.1489
-17.303
(5.37)***
-1.159
(1.94)*
-24.112
(2.50)**
-0.906
(0.91)
-14.464
(4.09)***
-2.410
(2.20)**
-0.153
(2.86)***
0.579
(1.02)
-0.131
(1.56)
0.850
(0.96)
-0.129
(0.09)
1.456
(2.19)**
1.116
(2.68)***
-0.238
(2.51)**
1.342
(1.61)
-0.331
(0.25)
0.449
(0.64)
2.123
(5.93)***,#
-12.430
(0.50)
-13.262
(0.56)
0.964
(1.30)
1.588
(1.13)
-0.131
(0.24)
-0.284
(1.68)*
1.553
(4.91)***
0.395
(0.39)
-0.291
(1.16)
2.128
(2.26)**
-0.996
(1.20)
-0.252
(0.83)
1.414
(4.49)***
3082
0.1463
1293
0.1523
1180
0.2146
0.349
(0.85)
1.428
(6.24)***
Table IA.II.b
the period from 2002 to 2008. Non-financial firms with at least $10m in total assets are included in the sample. The
dependent variable equals one for 130 non-U.S. firms that deregistered from major U.S. exchanges in the year of
deregistration (60 firms prior to Rule 12h-6 and 70 firms after Rule 12h-6) plus 10 additional firms that
announced voluntary delisting and deregistration, but were at risk of being involuntarily delisted. After firms
deregister they are removed from the data set. Models (1), (2), (3), and (6) include all firms with data on each firm
characteristic. Model (4) is estimated over 2002 to 2006 and excludes firms that deregistered after Rule 12h-6.
Model (5) is estimated over 2007 to 2008 and excludes firms that deregistered prior to Rule 12h-6. Model (7)
(Model (8)) is estimated for firms with a positive (negative) financing deficit. The Rule 12h-6 dummy equals one for
firms that deregistered after Rule 12h-6. Other variable definitions are in Table A.I in the paper. All independent
variables are lagged by one year. The t-statistics (in parentheses) are adjusted for clustering on firms – they are
computed assuming observations are independent across firms, but not within firms. Pseudo-R2 is a goodness-of-fit
measure based on the difference between unrestricted and restricted likelihood functions. *, **, and *** indicate
statistical significance at the 10%, 5%, and 1% levels, respectively. #, ##, and ### indicate statistical significance for
a chi-squared test that tests whether the coefficients are equal between the pre-Rule12h-6 and Rule 12h-6 periods
(Models (4) and (5)) or between the positive and negative financing deficit samples (Models (7) and (8)). “Chisquared” indicates the joint test that all coefficients are equal between pre-Rule 12h-6 and Rule 12h-6 periods
(Models (4) and (5)) or between the positive and negative financing deficit samples (Models (7) and (8)).
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
-16.142
(5.45)***
-0.798
(1.56)
-2.382
(3.18)***
-0.094
(2.03)**
0.333
(0.68)
-0.675
(0.91)
0.314
(0.77)
1.214
(5.78)***
S&P rating
-17.241
(3.21)***
-5.102
(3.88)***
-1.127
(0.85)
-0.502
(3.51)***
0.386
(0.31)
0.889
(0.40)
-0.010
(0.01)
2.965
(5.60)***
0.006
(0.29)
SOX CAR
-17.105
(4.86)***
-0.982
(1.56)
-1.926
(2.38)**
-0.135
(2.60)***
0.800
(1.42)
-0.596
(0.71)
0.868
(1.87)*
1.441
(6.30)***
-18.735
(2.82)***
-0.507
(0.72)
-1.825
(1.32)
-0.253
(2.88)***
-0.517
(0.55)
-1.510
(1.71)*
1.722
(2.85)***
-16.213
(3.07)***
-1.757
(2.03)**
-2.127
(2.28)**
-0.048
(0.61)#
2.322
(2.86)***,##
1.214
(0.86)
0.129
(0.18)#
-5.573
(0.36)
10.228
(0.50)
-26.794
(1.24)
FCF problem
O-score
Anti-self-dealing
Log(GNP/capita)
-0.219
(0.39)
-0.272
(1.68)*
1.388
(4.75)***
-0.107
(0.34)
1.982
(3.59)***
-0.479
(0.77)
-0.266
(1.46)
1.525
(4.47)***
3252
0.1290
1056
0.3548
2691
0.1501
Pseudo R2
5
0.389
-1.096
(0.38)
(1.33)
-0.592
-0.062
(2.17)**
(0.26)
1.822
1.434
(2.66)***
(2.96)***
63.28
2065
0.1182
626
0.1313
-16.836
(5.56)***
-0.907
(2.03)**
-24.781
(2.81)***
-0.326
(0.47)
-12.098
(3.70)***
-2.840
(3.01)***,##
-0.109
(2.44)**
0.352
(0.72)
-0.086
(1.23)
0.515
(0.66)
-0.433
(0.38)
1.321
(2.03)**
0.916
(2.38)**
-0.171
(2.28)**
0.894
(1.10)
0.006
(0.00)
0.481
(0.74)
1.918
(5.91)***,##
-8.168
(0.38)
-10.191
(0.48)
0.954
(1.40)
0.640
(0.67)
-0.236
(0.43)
-0.293
(1.77)*
1.476
(4.86)***
0.208
(0.21)
-0.307
(1.21)
2.161
(2.52)**
-1.182
(1.51)
-0.254
(0.84)
1.123
(3.59)***
3445
0.1188
1437
0.1323
1254
0.1821
0.300
(0.77)
1.188
(5.64)***
Table IA.II.c
the period from 2002 to 2008. Non-financial firms with at least $10m in total assets are included in the sample. The
dependent variable equals one for 130 non-U.S. firms that deregistered from major U.S. exchanges in the year of
deregistration (60 firms prior to Rule 12h-6 and 70 firms after Rule 12h-6). After firms deregister they are removed
from the data set. Models (1), (2), (3), and (6) include all firms with data on each firm characteristic. Model (4) is
estimated over 2002 to 2006 and excludes firms that deregistered after Rule 12h-6. Model (5) is estimated over 2007
to 2008 and excludes firms that deregistered prior to Rule 12h-6. Model (7) (Model (8)) is estimated for firms with a
positive (negative) financing deficit. The Rule 12h-6 dummy equals one for firms that deregistered after Rule 12h-6.
Other variable definitions are in Table AI. All independent variables are lagged by one year. The t-statistics (in
parentheses) are adjusted for two-way clustering on firms and on years. Results for Models (4) and (5) are
not reported because there are only two time periods for the Rule 12h-6 group. Pseudo-R2 is a goodness-of-fit
measure based on the difference between unrestricted and restricted likelihood functions. *, **, and *** indicate
statistical significance at the 10%, 5%, and 1% levels, respectively. #, ##, and ### indicate statistical significance for
a chi-squared test that tests whether the coefficients are equal between the positive and negative financing deficit
samples (Models (7) and (8)).
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
-17.683
(8.26)***
-1.007
(3.43)***
-2.587
(4.99)***
-0.110
(1.30)
0.580
(1.02)
-0.418
(0.75)
0.218
(0.45)
1.259
(3.70)***
-20.498
(5.89)***
-5.268
(4.84)***
-1.096
(0.60)
-0.479
(4.63)***
0.347
(0.34)
1.088
(0.66)
0.136
(0.26)
2.853
(3.27)***
0.005
(0.32)
-19.390
(11.01)***
-1.283
(4.31)***
-2.122
(4.32)***
-0.148
(1.71)*
1.080
(1.73)*
-0.334
(0.48)
0.801
(2.04)**
1.484
(3.67)***
.
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-18.396
(10.02)***
-1.075
(3.69)***
-25.540
(3.73)***
-0.687
(1.12)
-14.689
(6.17)***
-2.958
(3.90)***,#
-0.121
(1.57)
0.554
(0.97)
-0.090
(1.75)*
0.689
(0.99)
0.109
(0.07)
1.219
(2.25)**
1.014
(3.24)***
-0.192
(1.60)
1.238
(1.66)*
-0.107
(0.12)
0.466
(0.99)
1.964
(3.38)***,###
-8.400
(0.52)
-19.784
(1.48)
0.194
(0.19)
-0.273
(0.97)
2.227
(3.29)***
-1.275
(1.88)*
-0.272
(1.68)*
1.393
(11.27)***
S&P rating
SOX CAR
-10.176
(0.74)
FCF problem
O-score
Anti-self-dealing
Log(GNP/capita)
-0.289
(0.64)
-0.259
(1.91)*
1.550
(8.29)***
-0.109
(0.56)
2.261
(6.92)***
-0.546
(1.16)
-0.251
(1.47)
1.752
(6.59)***
Pseudo R2
0.209
(0.40)
1.239
(3.16)***
1.150
(1.89)*
0.671
(0.78)
-0.310
(0.68)
-0.286
(2.32)**
1.637
(8.34)***
.
3228
0.1453
1050
0.3570
2667
0.1720
6
.
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.
3423
0.1335
1428
0.1438
1239
0.2068
Table IA.III.a
Return Performance of Deregistering Firms
This table compares the return performance of firms that deregistered with non-U.S. firms cross-listed on U.S.
exchanges that did not deregister. The regression, RDereg, t – RBench, t = α + β × [R W_exUS, t – Rf,t] + γ × SMB t + δ ×
HMLt + εt, is estimated by OLS. RDereg is the weekly (Friday to Friday) U.S. dollar return on an equal-weighted
portfolio of firms that deregistered. RBench is the return on an equal-weighted portfolio of non-U.S. firms cross-listed
on U.S. exchanges that did not deregister. Each portfolio must have at least five firms. RW_exUS is the weekly U.S.
dollar-denominated return on the world market portfolio. SMB and HML are the U.S.-based size and book-tomarket factors from Fama and French (1993). Firms with less than 100 weekly observations, less than $100 million
in total assets, and firms that delisted prior to July 8, 2002 are excluded. Deregistering firms are included in the
portfolio starting on January 5, 2001 and are excluded from the portfolio starting one week prior to deregistration.
The Rule 12h-6 dummy equals one for firms that deregistered after Rule 12h-6. Model (1) includes all deregistering
firms and the regression is estimated from January 5, 2001 to June 20, 2008. Model (2) estimates the regression for
the firms that deregistered prior to Rule 12h-6 (over January 5, 2001 to December 1, 2006). Model (3) estimates the
regression for firms that deregistered after Rule 12h-6 (over January 5, 2001 to June 20, 2008). t-statistics are in
parentheses. *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively.
(2)
Pre-Rule 12h-6
deregistering firms
(3)
Rule 12h-6 deregistering
firms
-0.0020
(2.85)***
0.0367
(1.28)
-0.0164
(0.34)
0.0563
(1.03)
0.0020
(1.66)*
-0.0018
(2.10)**
0.0465
(1.03)
0.0966
(1.35)
-0.1247
(1.58)
-0.0012
(2.03)**
0.0372
(1.25)
-0.0840
(1.67)*
0.1201
(2.12)**
390
0.0025
309
0.0158
390
0.0127
(1)
All deregistering firms
Constant
World market
SMB
HML
Rule 12h-6 dummy
Adjusted R2
7
Table IA.III.b
HMLt + εt, is estimated by OLS. RDereg is the weekly (Friday to Friday) U.S. dollar return on an equal-weighted
portfolio of firms that deregistered. RBench is the return on an equal-weighted portfolio of non-U.S. firms cross-listed
dollar-denominated return on the world market portfolio. SMB and HML are the U.S.-based size and book-to-market
factors from Fama and French (1993). Firms with less than 100 weekly observations, less than $10 million in total
assets, and firms that delisted prior to July 8, 2002 are excluded. Deregistering firms are included in the portfolio
starting on January 5, 2001 and are excluded from the portfolio starting one week prior to deregistration. The Rule
12h-6 dummy equals one for firms that deregistered after Rule 12h-6. The sample of deregistering firms includes
an additional 10 firms that announced voluntary delisting and deregistration, but were at risk of being
involuntarily delisted. Model (1) includes all deregistering firms and the regression is estimated from January 5,
2001 to June 27, 2008. Model (2) estimates the regression for the firms that deregistered prior to Rule 12h-6 (over
January 5, 2001 to January 5, 2007). Model (3) estimates the regression for firms that deregistered after Rule 12h-6
(over January 5, 2001 to June 27, 2008). t-statistics are in parentheses. *, **, and *** indicate statistical significance
at the 10%, 5%, and 1% levels, respectively.
(2)
Pre-Rule 12h-6
deregistering firms
(3)
firms
-0.0024
(3.18)***
0.0453
(1.46)
-0.0529
(1.00)
-0.0154
(0.26)
0.0025
(1.99)**
-0.0024
(2.58)**
0.0720
(1.50)
0.0285
(0.37)
-0.1277
(1.53)
-0.0013
(2.05)**
0.0436
(1.36)
-0.1440
(2.64)***
0.0537
(0.88)
391
0.0091
314
0.0127
391
0.0144
(1)
Constant
World market
SMB
HML
Rule 12h-6 dummy
Adjusted R2
8
Table IA.III.c
HMLt + εt, is estimated by OLS. RDereg is the weekly (Friday to Friday) U.S. dollar return on a value-weighted
portfolio of firms that deregistered. RBench is the return on a value-weighted portfolio of non-U.S. firms cross-listed
dollar-denominated return on the world market portfolio. SMB and HML are the U.S.-based size and book-to-market
factors from Fama and French (1993). Firms with less than 100 weekly observations, less than $10 million in assets,
and firms that delisted prior to July 8, 2002 are excluded. Deregistering firms are included in the portfolio starting
on January 5, 2001 and are excluded from the portfolio starting one week prior to deregistration. The Rule 12h-6
dummy equals one for firms that deregistered after Rule 12h-6. Model (1) includes all deregistering firms and the
regression is estimated from January 5, 2001 to June 27, 2008. Model (2) estimates the regression for the firms that
deregistered prior to Rule 12h-6 (over January 5, 2001 to January 5, 2007). Model (3) estimates the regression for
firms that deregistered after Rule 12h-6 (over January 5, 2001 to June 27, 2008). t-statistics are in parentheses. *, **,
and *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively.
(2)
Pre-Rule 12h-6
deregistering firms
(3)
firms
-0.0008
(1.20)
-0.0625
(2.33)**
0.0507
(1.11)
0.2208
(4.29)***
0.0014
(1.28)
-0.0019
(1.68)*
0.1554
(2.61)***
0.2085
(2.20)**
0.0186
(0.18)
-0.0001
(0.17)
-0.1069
(3.77)***
0.0240
(0.50)
0.2713
(5.02)***
391
0.0649
314
0.0352
391
0.1106
(1)
Constant
World market
SMB
HML
Rule 12h-6 dummy
Adjusted R2
9
Table IA.IV.a
Stock-price Reactions of Exchange-listed firms and Deregistering Firms Around SOX Announcement Dates
The regression, Rp,t = α + β × R b,t + δ´Event_Dummy + εt, is estimated from January 1, 2001 to December 31, 2003. Event_Dummy is a vector that includes a
dummy variable for each of the SOX event dates from Litvak (2007), Table 1. Each dummy equals one (negative one) around the SOX event dates (-1,+1
window) that are predicted to have a negative (positive) price reaction. Events predicted to have a negative (positive) reaction have “-” (“+”) superscripts. Events
in bold are identified by Litvak (2007) as important SOX events. In Model (1) Rp is the daily U.S. dollar equal-weighted return on a portfolio that includes all
non-U.S. firms cross-listed on U.S. exchanges. In Model (2) the portfolio includes all firms that deregistered between 2002 and 2008; in Model (3) it includes all
firms that deregistered prior to Rule 12h-6 between 2002 and March 2007; and in Model (4) it includes all firms that deregistered after Rule 12h-6 between April
2007 and December 2008. In Models (5) to (7) Rp is the difference in returns on the portfolio of deregistering firms (all deregistering firms; deregistering firms
prior to Rule 12h-6; deregistering firms after Rule12h-6) and the portfolio of exchange-listed firms that did not deregister (denoted “Dereg–Exch”). Rb is the
value-weighted return on the benchmark portfolio that includes all non-U.S. firms listed in the U.S. via Level 1 OTC or Rule 144a ADRs. Firms with less than
260 daily observations, firms with less than $10 million in total assets, and firms that delisted prior to July 8, 2002 are excluded. t-statistics are in parentheses. *,
**, and *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively.
Constant
(1)
All exchangelisted firms
(2)
All deregistering
firms
(3)
Pre-Rule 12h-6
deregistering firms
0.0002
-0.0006
-0.0006
-0.0005
-0.0009
-0.0010
-0.0009
(1.05)
(2.53)**
(1.81)*
(2.62)***
(4.91)***
(3.49)***
(4.36)***
-0.0038
-0.0040
-0.0036
-0.0025
-0.0028
-0.0024
(4)
Rule 12h-6
deregistering firms
(5)
Dereg–Exch
(6)
Dereg–Exch
(7)
Dereg–Exch
1-
Early SEC
-0.0017
(0.57)
(1.11)
(0.79)
(1.15)
(0.88)
(0.66)
(0.75)
2-
House Committee
-0.0023
-0.0062
-0.0122
-0.0020
-0.0047
-0.0107
-0.0005
(0.79)
(1.83)*
(2.38)**
(0.63)
(1.63)
(2.52)**
(0.15)
-0.0036
-0.0049
-0.0081
-0.0027
-0.0016
-0.0048
0.0006
(1.56)
(1.87)*
(2.04)**
(1.11)
(0.73)
(1.46)
(0.24)
-0.0033
-0.0001
-0.0004
0.0001
0.0039
0.0036
0.0042
(1.14)
(0.03)
(0.08)
(0.04)
(1.37)
(0.85)
(1.32)
0.0024
0.0052
0.0032
0.0066
0.0035
0.0014
0.0049
(0.80)
(1.54)
(0.63)
(2.13)**
(1.20)
(0.34)
(1.55)
WorldCom Announcement
-0.0030
-0.0009
-0.0017
-0.0004
0.0025
0.0017
0.0031
(1.02)
(0.27)
(0.33)
(0.12)
(0.87)
(0.41)
(0.97)
Sarbanes Amendment
-0.0014
-0.0028
-0.0030
-0.0026
-0.0016
-0.0019
-0.0014
(0.56)
(0.94)
(0.68)
(0.96)
(0.65)
(0.51)
(0.53)
Dorgan Amendment
0.0018
0.0006
-0.0034
0.0034
-0.0015
-0.0054
0.0014
(0.54)
(0.15)
(0.59)
(0.97)
(0.45)
(1.13)
(0.38)
3
4
-
-
5
6
-
-
78
-
Full House
st
Senate Committee 1 announcement
Senate Committee follow up
10
Table IA.IV.a, continued
9- Bills pass House and Senate
(1)
(2)
All deregistering
firms
(3)
Pre-Rule 12h-6
deregistering firms
(4)
Rule 12h-6
deregistering firms
(5)
Dereg–Exch
(6)
Dereg–Exch
(7)
Dereg–Exch
-0.0007
0.0022
0.0064
-0.0007
0.0035
0.0076
0.0006
**
(0.24)
(0.28)
+
10 Conference Report
(0.82)
(1.55)
(0.27)
(1.52)
(2.25)
-0.0114
-0.0076
-0.0116
-0.0048
0.0046
0.0006
0.0073
(4.47)***
(2.60)***
(2.61)***
(1.79)*
(1.83)*
(0.17)
(2.70)***
11- President
0.0007
-0.0015
-0.0002
-0.0024
-0.0026
-0.0013
-0.0036
(0.23)
(0.44)
(0.03)
(0.77)
(0.91)
(0.31)
(1.13)
12- SEC Rule 302: no exemption
0.0020
-0.0043
-0.0024
-0.0056
-0.0076
-0.0056
-0.0089
(0.67)
(1.26)
(0.46)
(1.80)*
(2.62)***
(1.33)
(2.82)***
+
-0.0023
-0.0014
-0.0047
0.0010
0.0010
-0.0023
0.0034
(0.99)
(0.53)
(1.19)
(0.41)
(0.47)
(0.69)
(1.41)
-
0.0036
-0.0010
0.0009
-0.0022
-0.0055
-0.0037
-0.0068
(1.22)
(0.28)
(0.17)
(0.72)
(1.91)*
(0.87)
(2.16)**
13 Pitt suggests exemptions
14 No exemptions to 404, 406, 407
Portfolio: Level 1 & Rule 144a firms
Adjusted R2
0.9122
1.1036
1.1240
1.0901
0.2317
0.2522
0.2183
(44.77)***
(47.00)***
(31.76)***
(50.44)***
(11.63)***
(8.59)***
(10.02)***
782
782
782
782
782
782
782
0.7285
0.7461
0.5744
0.7714
0.1610
0.0926
0.1303
11
Table IA.IV.b
The regression, Rp,t = α + β × R b,t + δ × SOX dummy + ε t, is estimated from January 1, 2001 to December 31, 2003. The SOX dummy equals one (negative one)
around the SOX event dates (-1,+1 window) that are predicted to have a negative (positive) price reaction. SOX event dates are from Litvak (2007), Table 1. In
Panel A, the dummy includes all 14 SOX events. In Panel B, the dummy includes eight SOX events that Litvak (2007) identifies as important. In Model (1) Rp is
the daily U.S. dollar equal-weighted return on a portfolio that includes all non-U.S. firms cross-listed on U.S. exchanges. In Model (2) the portfolio includes all
firms that deregistered between 2002 and 2008; in Model (3) it includes all firms that deregistered prior to Rule 12h-6 between 2002 and March 2007; and in
Model (4) it includes all firms that deregistered after Rule 12h-6 between April 2007 and December 2008. In Models (5) to (7) Rp is the difference in returns on
the portfolio of deregistering firms (all deregistering firms; deregistering firms prior to Rule 12h-6; deregistering firms after Rule12h-6) and the portfolio of
exchange-listed firms that did not deregister (denoted “Dereg–Exch”). Rb is the value-weighted return on the benchmark portfolio that includes all non-U.S. firms
listed in the U.S. via Level 1 OTC or Rule 144a ADRs. Firms with less than 260 daily observations, firms with less than $100 million in total assets, and firms
that delisted prior to July 8, 2002 are excluded. t-statistics are in parentheses. *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels,
respectively.
(1)
(2)
All deregistering
firms
(3)
Pre-Rule 12h-6
deregistering firms
(4)
Rule 12h-6
deregistering firms
(5)
Dereg–Exch
(6)
Dereg–Exch
(7)
Dereg–Exch
Panel A: All SOX Events Included in the SOX Event Dummy
Constant
All events dummy
-0.0002
-0.0007
-0.0008
-0.0006
-0.0006
-0.0007
-0.0005
(0.88)
(3.06)***
(2.39)**
(2.89)***
(3.35)***
(2.77)***
(2.62)***
0.0005
-0.0005
-0.0002
-0.0007
-0.0013
-0.0010
-0.0015
*
(0.94)
(1.84)*
0.2490
0.2077
(0.71)
(0.62)
(0.16)
(0.89)
(1.82)
0.9476
1.1263
1.1532
1.1119
0.2222
***
***
***
***
***
***
(9.31)***
(46.57)
(48.43)
(32.20)
(50.55)
(11.26)
(8.56)
782
782
782
782
782
782
782
2
0.7352
0.7506
0.5705
0.7664
0.1429
0.0854
0.1031
Adjusted R
Panel B. Important SOX Events Included in the SOX Event Dummy
Constant
Important SOX events dummy
-0.0001
-0.0007
-0.0008
-0.0006
-0.0006
-0.0008
-0.0006
(0.76)
(3.04)***
(2.44)**
(2.81)***
(3.47)***
(2.93)***
(2.68)***
-0.0001
-0.0011
0.0001
-0.0018
-0.0012
0.0000
-0.0019
*
(1.32)
(0.02)
(1.84)*
0.2217
0.2501
0.2062
(0.10)
(0.98)
(0.07)
(1.73)
0.9468
1.1251
1.1536
1.1097
***
***
***
***
***
***
(9.23)***
(46.41)
(48.29)
(32.14)
(50.41)
(11.20)
(8.57)
782
782
782
782
782
782
782
2
0.7350
0.7508
0.5705
0.7671
0.1412
0.0844
0.1031
Adjusted R
12
Table IA.IV.c
firms that deregistered between 2002 and 2008 – the sample includes an additional 10 firms that announced voluntary delisting and deregistration, but
were at risk of being involuntarily delisted; in Model (3) it includes all firms that deregistered prior to Rule 12h-6 between 2002 and March 2007; and in
listed in the U.S. via Level 1 OTC or Rule 144a ADRs. Firms with less than 260 daily observations, firms with less than $10 million in total assets, and firms that
delisted prior to July 8, 2002 are excluded. t-statistics are in parentheses. *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels,
respectively.
(1)
(2)
All deregistering
firms
(3)
Pre-Rule 12h-6
deregistering firms
(4)
Rule 12h-6
deregistering firms
(5)
Dereg–Exch
(6)
Dereg–Exch
(7)
Dereg–Exch
Constant
All events dummy
0.0000
-0.0007
-0.0008
-0.0006
-0.0009
-0.0010
-0.0008
(0.23)
(3.07)
***
**
***
***
***
(3.91)***
0.0008
-0.0004
-0.0013
-0.0016
(1.24)
(2.01)**
(1.00)
Adjusted R2
(0.50)
(2.48)
-0.0003
(0.22)
(2.89)
-0.0006
(0.72)
(5.01)
-0.0015
(2.06)
**
(3.90)
0.9183
1.1057
1.1251
1.0910
0.2298
0.2492
0.2151
(44.81)***
(45.73)***
(30.80)***
(51.47)***
(11.89)***
(8.60)***
(10.02)***
782
782
782
782
782
782
782
0.7199
0.7285
0.5487
0.7728
0.1576
0.0871
0.1179
Constant
Adjusted R2
0.0001
-0.0007
-0.0009
-0.0006
-0.0009
-0.0011
-0.0008
(0.38)
(3.08)
***
**
***
***
***
(4.03)***
0.0001
-0.0006
0.0002
-0.0013
-0.0009
-0.0001
-0.0016
(0.13)
(0.57)
(0.10)
(1.31)
(1.04)
(0.09)
(1.59)
(2.54)
(2.84)
(5.21)
(4.10)
0.9176
1.1051
1.1257
1.0895
0.2299
0.2505
0.2142
(44.65)***
(45.61)***
(30.75)***
(51.32)***
(11.85)***
(8.62)***
(9.95)***
782
782
782
782
782
782
782
0.7195
0.7285
0.5486
0.7731
0.1542
0.0853
0.1162
13
Table IA.IV.d
exchange-listed firms that did not deregister (denoted “Dereg–Exch”). Rb is the equal-weighted return on the benchmark portfolio that includes all non-U.S.
firms listed in the U.S. via Level 1 OTC or Rule 144a ADRs. Firms with less than 260 daily observations, firms with less than $10 million in total assets, and
firms that delisted prior to July 8, 2002 are excluded. t-statistics are in parentheses. *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels,
respectively.
(1)
(2)
All deregistering
firms
(3)
Pre-Rule 12h-6
deregistering firms
(4)
Rule 12h-6
deregistering firms
(5)
Dereg–Exch
(6)
Dereg–Exch
(7)
Dereg–Exch
Constant
All events dummy
-0.0002
-0.0009
-0.0011
-0.0008
-0.0008
-0.0010
-0.0007
(1.23)
(3.53)***
(3.22)***
(3.08)***
(4.28)***
(3.69)***
(3.34)***
-0.0009
-0.0023
-0.0020
-0.0025
-0.0017
-0.0014
-0.0019
**
**
(1.29)
(2.30)**
0.1586
0.2383
0.1043
(1.19)
(2.25)
**
(1.49)
(2.48)
1.0952
1.2262
1.3059
1.1720
***
***
***
***
(2.22)
***
(3.79)***
(43.34)
(36.04)
(29.20)
(34.70)
(6.28)
782
782
782
782
782
782
782
2
0.7062
0.6248
0.5218
0.6072
0.0513
0.0533
0.0219
Adjusted R
(6.67)
***
Constant
-0.0002
-0.0009
-0.0011
-0.0008
-0.0008
-0.0010
-0.0007
(1.13)
(3.54)***
(3.25)***
(3.06)***
(4.39)***
(3.81)***
(3.41)***
-0.0021
-0.0036
-0.0028
-0.0042
-0.0018
-0.0010
-0.0024
**
***
***
*
(0.71)
(2.22)**
0.1569
0.2372
0.1022
(2.19)
1.0934
***
(2.75)
1.2231
***
(1.62)
1.3034
***
(3.22)
1.1684
***
(1.83)
***
***
(3.71)***
(43.35)
(35.99)
(29.14)
(34.68)
(6.21)
782
782
782
782
782
782
782
2
0.7075
0.6260
0.5221
0.6093
0.0493
0.0519
0.0215
Adjusted R
14
(6.63)
Table IA.IV.e
the daily U.S. dollar value-weighted return on a portfolio that includes all non-U.S. firms cross-listed on U.S. exchanges. In Model (2) the portfolio includes all
listed in the U.S. via Level 1 OTC or Rule 144a ADRs. Firms with less than 260 daily observations, firms with less than $10 million in total assets, and firms that
delisted prior to July 8, 2002 are excluded. t-statistics are in parentheses. *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels,
respectively.
(1)
(2)
All deregistering
firms
(3)
Pre-Rule 12h-6
deregistering firms
(4)
Rule 12h-6
deregistering firms
(5)
Dereg–Exch
(6)
Dereg–Exch
(7)
Dereg–Exch
Constant
-0.0005
-0.0005
-0.0013
-0.0003
0.0000
-0.0008
0.0002
(2.56)**
(2.45)**
(3.10)***
(1.46)
(0.19)
(2.36)**
(0.82)
All events dummy
-0.0002
0.0003
0.0016
0.0000
0.0006
0.0019
0.0003
(0.26)
(0.39)
(0.96)
(0.05)
(0.84)
(1.34)
(0.38)
1.1586
1.0580
1.5048
0.9481
-0.1150
0.3318
-0.2249
(56.89)***
(46.79)***
(33.12)***
(41.85)***
(5.94)***
(8.78)***
(9.94)***
782
782
782
782
782
782
782
2
0.8059
0.7371
0.5837
0.6917
0.0422
0.0887
0.1110
Adjusted R
Constant
-0.0005
-0.0005
-0.0013
-0.0003
0.0000
-0.0008
0.0002
(2.45)**
(2.25)**
(3.08)***
(1.22)
(0.05)
(2.39)**
(0.98)
-0.0011
-0.0011
0.0019
-0.0018
0.0000
0.0030
-0.0007
*
*
(1.20)
(1.07)
(0.90)
(1.75)
(0.01)
(1.73)
1.1569
1.0556
1.5061
0.9449
-0.1157
0.3348
-0.2265
(56.73)***
(46.61)***
(33.07)***
(41.70)***
(5.96)***
(8.85)***
(9.99)***
782
782
782
782
782
782
782
2
0.8062
0.7375
0.5836
0.6929
0.0414
0.0901
0.1113
Adjusted R
15
(0.67)
Table IA.IV.f
on the SOX event dates that are predicted to have a negative (positive) price reaction – event windows are defined as in Litvak (2007). SOX event dates are
from Litvak (2007), Table 1. In Panel A, the dummy includes all 14 SOX events. In Panel B, the dummy includes eight SOX events that Litvak (2007) identifies
as important. In Model (1) Rp is the daily U.S. dollar equal-weighted return on a portfolio that includes all non-U.S. firms cross-listed on U.S. exchanges. In
Model (2) the portfolio includes all firms that deregistered between 2002 and 2008; in Model (3) it includes all firms that deregistered prior to Rule 12h-6
between 2002 and March 2007; and in Model (4) it includes all firms that deregistered after Rule 12h-6 between April 2007 and December 2008. In Models (5)
to (7) Rp is the difference in returns on the portfolio of deregistering firms (all deregistering firms; deregistering firms prior to Rule 12h-6; deregistering firms
after Rule12h-6) and the portfolio of exchange-listed firms that did not deregister (denoted “Dereg–Exch”). Rb is the value-weighted return on the benchmark
portfolio that includes all non-U.S. firms listed in the U.S. via Level 1 OTC or Rule 144a ADRs. Firms with less than 260 daily observations, firms with less than
$10 million in total assets, and firms that delisted prior to July 8, 2002 are excluded. t-statistics are in parentheses. *, **, and *** indicate statistical significance
at the 10%, 5%, and 1% levels, respectively.
(1)
(2)
All deregistering
firms
(3)
Pre-Rule 12h-6
deregistering firms
(4)
Rule 12h-6
deregistering firms
(5)
Dereg–Exch
(6)
Dereg–Exch
(7)
Dereg–Exch
Constant
All events dummy
0.0001
-0.0007
-0.0008
-0.0006
-0.0009
-0.0010
-0.0008
(0.47)
(3.08)***
(2.42)**
(2.93)***
(4.96)***
(3.84)***
(4.11)***
0.0001
-0.0010
-0.0001
-0.0016
-0.0013
-0.0004
-0.0019
(0.11)
(0.78)
(0.06)
(1.39)
(1.25)
(0.29)
(1.67)*
0.9152
1.1035
1.1269
1.0878
0.2279
0.2514
0.2123
***
***
***
***
***
***
(9.74)***
(44.81)
(47.15)
(31.92)
(50.68)
(11.45)
(8.61)
782
782
782
782
782
782
782
2
0.7227
0.7436
0.5694
0.7707
0.1487
0.0865
0.1147
Adjusted R
Constant
0.0001
-0.0006
-0.0008
-0.0006
-0.0009
-0.0010
-0.0008
(0.57)
(3.02)***
(2.37)**
(2.89)***
(5.00)***
(3.85)***
(4.16)***
-0.0010
-0.0021
-0.0014
-0.0026
-0.0013
-0.0006
-0.0018
**
(0.83)
(1.46)
(0.64)
(1.97)
(1.04)
(0.31)
(1.32)
0.9132
1.1024
1.1250
1.0874
0.2290
0.2516
0.2140
(44.85)***
(47.28)***
(31.96)***
(50.86)***
(11.53)***
(8.64)***
(9.83)***
782
782
782
782
782
782
782
2
0.7229
0.7441
0.5696
0.7713
0.1481
0.0865
0.1136
Adjusted R
16
Table IA.V.a
Cross-sectional Regressions of Stock-price Reactions Around SOX Announcement Dates
This table presents cross-sectional regressions that examine the impact of firm and country characteristics on
cumulative abnormal returns (CARs) estimated around SOX announcement dates. The CARs are computed relative
to a value-weighted benchmark portfolio that includes all non-U.S. firms listed in the U.S. via Level 1 OTC or Rule
144a ADRs. The sample includes all non-financial exchange-listed firms with at least $100m in total assets that
have at least 260 daily return observations in Datastream from January 1, 2001 to December 31, 2003 and have
accounting data in Worldscope in 2001. Models (1) to (4) include all firms with data on each firm characteristic.
Model (5) (Model (6)) is estimated for firms with a positive (negative) financing deficit. The Deregistration dummy
equals one for firms that subsequently voluntarily deregistered. The Pre-Rule 12h-6 (Rule 12h-6 dummy) equals one
for firms that deregistered prior to Rule 12h-6 (after Rule 12h-6). Other variable definitions are in Table A.I in the
paper. The t-statistics (in parentheses) are adjusted for clustering on countries – they are computed assuming
observations are independent across countries, but not within countries. *, **, and *** indicate statistical
significance at the 10%, 5%, and 1% levels, respectively. The Pre-Rule 12h-6 dummy is not significantly different
from the Rule 12h-6 dummy in Model (2). #, ##, and ### indicate statistical significance for a chi-squared test that
tests whether the coefficients are equal between the positive and negative financing deficit samples (Models (5) and
(6)). “Chi-squared” indicates the joint test that all coefficients are equal between the positive and negative financing
deficit samples.
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Deregistration dummy
(1)
(2)
(3)
(4)
(5)
(6)
0.0136
(0.91)
0.0031
(4.78)***
-0.0031
(1.49)
-0.0002
(0.59)
0.0022
(0.84)
-0.0064
(1.69)*
0.0014
(0.59)
-0.0012
(1.34)
0.0137
(0.92)
0.0031
(4.85)***
-0.0031
(1.49)
-0.0002
(0.55)
0.0023
(0.84)
-0.0064
(1.70)*
0.0014
(0.58)
0.0084
(0.77)
0.0031
(2.21)**
0.0023
(0.83)
-0.0002
(0.34)
-0.0007
(0.16)
-0.0008
(0.13)
-0.0010
(0.40)
-0.0016
(1.05)
0.0128
(0.85)
0.0029
(3.62)***
0.0210
(1.39)
0.0034
(3.88)***
0.0044
(0.25)#
0.0015
(0.90)
-0.0002
(0.60)
0.0048
(1.54)
-0.0002
(0.78)
0.0055
(1.89)*
-0.0111
(1.88)*
-0.0012
(0.43)
-0.0018
(1.37)
-0.0002
(0.39)
-0.0012
(0.45)##
0.0022
(0.46)
0.0053
(2.05)*,##
-0.0002
(0.17)
Pre-Rule 12h-6 dummy
-0.0009
(0.64)
-0.0014
(0.96)
Rule 12h-6 dummy
S&P rating
-0.0002
(3.07)***
FCF problem
0.0003
(0.08)
-0.0015
(1.27)
-0.0011
(0.92)
0.0002
(0.05)
-0.0014
(1.24)
-0.0011
(0.93)
-0.0017
(0.76)
0.0006
(0.58)
-0.0057
(2.22)**
0.0002
(0.03)
0.0003
(0.10)
-0.0013
(1.16)
-0.0012
(0.96)
346
0.0892
346
0.0867
159
0.1255
352
0.0889
O-score
Anti-self-dealing
Log(GNP/capita)
0.0018
(0.77)
-0.0012
(1.37)
Adjusted R2
17
-0.0012
0.0042
(0.32)
(1.23)
-0.0012
-0.0015
(0.58)
(1.41)
-0.0018
-0.0005
(1.40)
(0.36)
2.91 (0.01)
204
0.1326
142
0.0431
Table IA.V.b
to a value-weighted benchmark portfolio that includes all non-U.S. firms listed in the U.S. via Level 1 OTC or Rule
144a ADRs. The sample includes all non-financial exchange-listed firms with at least $10m in total assets that have
at least 260 daily return observations in Datastream from January 1, 2001 to December 31, 2003 and have
equals one for firms that subsequently voluntarily deregistered plus 10 additional firms that announced voluntary
delisting and deregistration, but were at risk of being involuntarily delisted. The Pre-Rule 12h-6 (Rule 12h-6
dummy) equals one for firms that deregistered prior to Rule 12h-6 (after Rule 12h-6). Other variable definitions are
in Table A.I in the paper. The t-statistics (in parentheses) are adjusted for clustering on countries – they are
computed assuming observations are independent across countries, but not within countries. *, **, and *** indicate
statistical significance at the 10%, 5%, and 1% levels, respectively. The Pre-Rule 12h-6 dummy is not significantly
different from the Rule 12h-6 dummy in Model (2). #, ##, and ### indicate statistical significance for a chi-squared
test that tests whether the coefficients are equal between the positive and negative financing deficit samples (Models
(5) and (6)). “Chi-squared” indicates the joint test that all coefficients are equal between the positive and negative
financing deficit samples.
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
(1)
(2)
(3)
(4)
(5)
(6)
0.0142
(0.97)
0.0017
(1.98)*
-0.0043
(1.98)*
-0.0003
(1.18)
0.0017
(0.59)
-0.0046
(1.22)
0.0016
(0.70)
-0.0016
(1.93)*
0.0141
(0.96)
0.0017
(2.00)*
-0.0043
(1.96)*
-0.0003
(1.16)
0.0017
(0.57)
-0.0047
(1.23)
0.0017
(0.74)
0.0085
(0.77)
0.0026
(2.69)**
0.0024
(0.87)
-0.0002
(0.32)
-0.0010
(0.24)
-0.0006
(0.10)
-0.0010
(0.40)
-0.0017
(1.19)
0.0136
(0.91)
0.0011
(1.11)
0.0202
(1.36)
0.0021
(2.26)**
0.0062
(0.37)
0.0004
(0.18)
-0.0003
(0.94)
0.0043
(1.42)
-0.0003
(1.37)
0.0049
(1.51)
-0.0048
(1.14)
-0.0003
(0.12)
-0.0020
(1.77)*
-0.0003
(0.89)
-0.0022
(0.73)##
-0.0037
(0.89)
0.0053
(1.99)*,##
-0.0007
(0.51)
-0.0019
(1.60)
-0.0015
(1.11)
Rule 12h-6 dummy
S&P rating
-0.0002
(3.02)***
FCF problem
0.0002
(0.07)
-0.0011
(0.93)
-0.0010
(0.81)
0.0003
(0.08)
-0.0012
(0.95)
-0.0010
(0.80)
-0.0016
(0.75)
0.0006
(0.56)
-0.0052
(2.82)***
-0.0008
(0.21)
0.0004
(0.11)
-0.0009
(0.73)
-0.0011
(0.91)
376
0.0533
376
0.0508
160
0.1264
381
0.0542
O-score
Anti-self-dealing
Log(GNP/capita)
0.0021
(0.92)
-0.0015
(1.77)*
Adjusted R2
18
-0.0011
0.0030
(0.28)
(0.90)
-0.0006
-0.0014
(0.32)
(1.25)
-0.0016
-0.0003
(1.25)
(0.22)
2.55 (0.02)
226
0.0644
150
0.0255
Table IA.V.c
to an equal-weighted benchmark portfolio that includes all non-U.S. firms listed in the U.S. via Level 1 OTC or
Rule 144a ADRs. The sample includes all non-financial exchange-listed firms with at least $10m in total assets that
have at least 260 daily return observations in Datastream from January 1, 2001 to December 31, 2003 and have
equals one for firms that subsequently voluntarily deregistered. The Pre-Rule 12h-6 (Rule 12h-6 dummy) equals one
for firms that deregistered prior to Rule 12h-6 (after Rule 12h-6). Other variable definitions are in Table A.I in the
paper. The t-statistics (in parentheses) are adjusted for clustering on countries – they are computed assuming
significance at the 10%, 5%, and 1% levels, respectively. The Pre-Rule 12h-6 dummy is not significantly different
from the Rule 12h-6 dummy in Model (2). #, ##, and ### indicate statistical significance for a chi-squared test that
tests whether the coefficients are equal between the positive and negative financing deficit samples (Models (5) and
(6)). “Chi-squared” indicates the joint test that all coefficients are equal between the positive and negative financing
deficit samples.
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
(1)
(2)
(3)
(4)
(5)
(6)
0.0173
(1.13)
0.0015
(1.42)
-0.0049
(2.17)**
-0.0006
(2.19)**
0.0030
(1.00)
-0.0016
(0.40)
0.0020
(0.86)
-0.0019
(2.08)**
0.0173
(1.12)
0.0015
(1.43)
-0.0050
(2.17)**
-0.0006
(2.14)**
0.0029
(0.97)
-0.0017
(0.42)
0.0021
(0.90)
0.0092
(0.83)
0.0025
(1.59)
0.0022
(0.75)
-0.0001
(0.21)
0.0008
(0.18)
0.0049
(0.77)
-0.0011
(0.39)
-0.0015
(0.93)
0.0164
(1.04)
0.0008
(0.68)
0.0236
(1.50)
0.0023
(1.72)*
0.0090
(0.51)
-0.0001
(0.05)
-0.0005
(1.69)*
0.0059
(1.87)*
-0.0006
(2.26)**
0.0064
(1.87)*
-0.0020
(0.44)
0.0000
(0.01)
-0.0021
(1.71)*
-0.0006
(1.65)
-0.0007
(0.22)##
0.0000
(0.00)
0.0056
(2.14)**,#
-0.0012
(0.84)
-0.0022
(1.62)
-0.0018
(1.22)
Rule 12h-6 dummy
S&P rating
-0.0002
(3.39)***
FCF problem
0.0019
(0.55)
-0.0016
(1.20)
-0.0012
(0.93)
0.0020
(0.56)
-0.0017
(1.22)
-0.0012
(0.92)
-0.0020
(0.79)
0.0002
(0.19)
-0.0020
(1.03)
-0.0007
(0.15)
0.0022
(0.62)
-0.0013
(0.97)
-0.0014
(1.02)
373
0.0840
373
0.0816
159
0.1759
378
0.0879
O-score
Anti-self-dealing
Log(GNP/capita)
0.0026
(1.13)
-0.0018
(1.98)*
Adjusted R2
19
0.0011
0.0041
(0.26)
(1.15)
-0.0011
-0.0017
(0.53)
(1.47)
-0.0019
-0.0005
(1.39)
(0.32)
2.35 (0.03)
224
0.0888
149
0.0617
Table IA.VI.a
Stock-price Reactions of Exchange-listed Firms and Rule 12h-6 Deregistering Firms
Around Rule 12h-6 Announcement Dates
The regression, Rp,t = α + β× R b,t + δ´Event_Dummy + εt, is estimated from January 1, 2005 to December 31,
2007. Event_Dummy is a vector that includes dummy variables for three announcement dates related to adoption of
Rule 12h-6 from www.sec.gov. In Model (1) Rp is the daily U.S. dollar equal-weighted return on a portfolio that
includes all non-U.S. firms cross-listed on U.S. exchanges. In Model (2) Rp is the equal-weighted return on a
portfolio of firms that subsequently deregistered using Rule 12h-6 between April 2007 and December 2008. In
Model (3) Rp is the difference in returns on the portfolio of deregistering firms and the portfolio of exchange-listed
firms that did not deregister (denoted “Dereg–Exch”). Rb is the value-weighted return on the benchmark portfolio
that includes all non-U.S. firms listed in the U.S. via Level 1 OTC or Rule 144a ADRs. Firms with less than 260
daily observations and firms with less than $100 million in total assets are excluded. In Panel A, coefficients are
estimated for each dummy variable. In Panel B, a single dummy variable that equals one over all event days is
defined. t-statistics are in parentheses. *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels,
respectively.
(1)
(2)
(3)
All exchange-listed
Rule 12h-6
Dereg–Exch
firms
deregistering firms
Panel A: Individual Deregistration Event Dummies
Constant
1
December 14, 2005
2
December 13, 2006
3
March 21, 2007
Adjusted R2
-0.0003
(2.17)**
-0.0009
(0.42)
-0.0008
(0.38)
0.0012
(0.56)
0.8691
(55.80)***
-0.0004
(3.03)***
-0.0009
(0.36)
0.0001
(0.02)
-0.0003
(0.14)
0.9223
(54.37)***
-0.0002
(1.14)
0.0003
(0.10)
0.0011
(0.42)
-0.0017
(0.67)
0.0623
(3.31)***
780
0.8005
780
0.7918
780
0.0094
Panel B: Condensed Event Dummy
Constant
All events dummy
Adjusted R2
-0.0003
(2.18)**
-0.0002
(0.14)
0.8697
(55.95)***
-0.0004
(3.03)***
-0.0004
(0.28)
0.9223
(54.50)***
-0.0002
(1.14)
-0.0001
(0.08)
0.0617
(3.28)***
780
0.8008
780
0.7923
780
0.0112
20
Table IA.VI.b
firms that did not deregister (denoted “Dereg–Exch”). Rb is the equal-weighted return on the benchmark portfolio
respectively.
(1)
(2)
(3)
All exchange-listed
Rule 12h-6
Dereg–Exch
firms
deregistering firms
Constant
1
December 14, 2005
2
December 13, 2006
3
March 21, 2007
Adjusted R2
-0.0003
(2.07)**
-0.0005
(0.23)
-0.0002
(0.10)
0.0015
(0.66)
0.8686
(51.14)***
-0.0004
(2.61)***
-0.0011
(0.41)
0.0005
(0.18)
0.0004
(0.15)
0.8737
(44.61)***
-0.0002
(0.91)
-0.0005
(0.18)
0.0009
(0.34)
-0.0012
(0.46)
0.0062
(0.32)
780
0.7713
780
0.7193
780
-0.0046
Constant
All events dummy
Adjusted R2
-0.0003
(2.08)**
0.0003
(0.19)
0.8692
(51.31)***
-0.0004
(2.62)***
-0.0001
(0.04)
0.8740
(44.74)***
-0.0002
(0.91)
-0.0003
(0.17)
0.0058
(0.30)
780
0.7718
780
0.7199
780
-0.0024
21
Table IA.VI.c
Rule 12h-6 from www.sec.gov. In Model (1) Rp is the daily U.S. dollar value-weighted return on a portfolio that
respectively.
(1)
(2)
(3)
All exchange-listed
Rule 12h-6
Dereg–Exch
firms
deregistering firms
Constant
1
December 14, 2005
2
December 13, 2006
3
March 21, 2007
Adjusted R2
-0.0002
(1.35)
-0.0013
(0.72)
0.0015
(0.83)
0.0014
(0.80)
0.8693
(67.47)***
0.0000
(0.24)
-0.0009
(0.35)
0.0020
(0.82)
0.0002
(0.09)
0.8627
(48.16)***
0.0001
(1.02)
0.0005
(0.25)
0.0006
(0.31)
-0.0014
(0.70)
-0.0067
(0.47)
780
0.8545
780
0.7492
780
-0.0040
Constant
All events dummy
Adjusted R2
-0.0002
(1.36)
0.0005
(0.52)
0.8699
(67.60)***
0.0000
(0.24)
0.0005
(0.32)
0.8628
(48.26)***
0.0001
(1.02)
-0.0001
(0.08)
-0.0072
(0.50)
780
0.8546
780
0.7496
780
-0.0022
22
Table IA.VI.d
Rule 12h-6 from www.sec.gov. The event windows are defined as in Fernandes, Lel, and Miller (2010). In
Model (1) Rp is the daily U.S. dollar equal-weighted return on a portfolio that includes all non-U.S. firms crosslisted on U.S. exchanges. In Model (2) Rp is the equal-weighted return on a portfolio of firms that subsequently
deregistered using Rule 12h-6 between April 2007 and December 2008. In Model (3) Rp is the difference in returns
on the portfolio of deregistering firms and the portfolio of exchange-listed firms that did not deregister (denoted
“Dereg–Exch”). Rb is the value-weighted return on the benchmark portfolio that includes all non-U.S. firms listed in
the U.S. via Level 1 OTC or Rule 144a ADRs. Firms with less than 260 daily observations and firms with less than
$10 million in total assets are excluded. In Panel A, coefficients are estimated for each dummy variable. In Panel B,
a single dummy variable that equals one over all event days is defined. t-statistics are in parentheses. *, **, and ***
indicate statistical significance at the 10%, 5%, and 1% levels, respectively.
(1)
(2)
(3)
All exchange-listed
Rule 12h-6
Dereg–Exch
firms
deregistering firms
Constant
1
December 14, 2005
2
December 13, 2006
3
March 21, 2007
Adjusted R2
-0.0003
(2.11)**
-0.0009
(0.39)
-0.0012
(0.56)
-0.0003
(0.11)
0.8526
(53.14)***
-0.0005
(3.44)***
-0.0014
(0.62)
-0.0006
(0.27)
-0.0016
(0.74)
0.8971
(55.92)***
-0.0002
(1.27)
-0.0005
(0.17)
0.0008
(0.31)
-0.0015
(0.58)
0.0527
(2.79)***
780
0.7842
780
0.8008
780
0.0052
Constant
All events dummy
Adjusted R2
-0.0003
(2.12)**
-0.0008
(0.61)
0.8528
(53.28)***
-0.0005
(3.44)***
-0.0012
(0.94)
0.8970
(56.05)***
-0.0002
(1.27)
-0.0004
(0.26)
0.0523
(2.78)***
780
0.7847
780
0.8013
780
0.0073
23
Table IA.VI.e
2007. Event_Dummy is a vector that includes dummy variables for six announcement dates related to adoption of
respectively.
(1)
(2)
(3)
All exchange-listed
Rule 12h-6
Dereg–Exch
firms
deregistering firms
Constant
1
February 9, 2004
2
January 25, 2005
3
March 18, 2005
4
December 14, 2005
5
December 13, 2006
6
March 21, 2007
Adjusted R2
-0.0003
(2.28)**
0.0053
(2.35)**
-0.0024
(1.05)
-0.0008
(0.33)
-0.0009
(0.39)
-0.0013
(0.57)
0.0017
(0.75)
0.8737
(59.22)***
-0.0004
(3.54)***
0.0030
(1.35)
-0.0014
(0.64)
-0.0015
(0.67)
-0.0014
(0.64)
-0.0007
(0.31)
0.0002
(0.11)
0.9151
(63.13)***
-0.0002
(1.21)
-0.0026
(1.00)
0.0011
(0.42)
-0.0009
(0.35)
-0.0005
(0.19)
0.0008
(0.30)
-0.0016
(0.61)
0.0477
(2.81)***
1041
0.7732
1041
0.7944
1041
0.0024
Constant
All events dummy
Adjusted R2
-0.0003
(2.29)**
0.0003
(0.30)
0.8753
(59.41)***
-0.0004
(3.56)***
-0.0003
(0.33)
0.9163
(63.44)***
-0.0002
(1.21)
-0.0006
(0.58)
0.0472
(2.80)***
1041
0.7726
1041
0.7948
1041
0.0058
24
Table IA.VII.a
Cross-sectional Regressions of Stock-price Reactions Around the Rule 12h-6 Announcement Date
cumulative abnormal returns (CARs) estimated around the March 21, 2007 Rule 12h-6 announcement date. The
CARs are computed relative to a value-weighted benchmark portfolio that includes all non-U.S. firms listed in the
U.S. via Level 1 OTC or Rule 144a ADRs. The sample includes all non-financial exchange-listed firms with at least
$100m in total assets that have at least 260 daily return observations in Datastream from January 1, 2005 to
December 31, 2007 and have accounting data in Worldscope in 2006. Models (1) to (5) include all firms with data
on each firm characteristic. Model (6) (Model (7)) is estimated for firms with a positive (negative) financing deficit.
The Rule 12h-6 dummy equals one for firms that deregistered after Rule 12h-6. Other variable definitions are in
Table A.I in the paper. The t-statistics (in parentheses) are adjusted for clustering on countries – they are computed
assuming observations are independent across countries, but not within countries. *, **, and *** indicate statistical
significance at the 10%, 5%, and 1% levels, respectively. The positive SOX CAR is not significantly different from
the negative SOX CAR dummy in Model (4). #, ##, and ### indicate statistical significance for a chi-squared test
that tests whether the coefficients are equal between the positive and negative financing deficit samples (Models (6)
and (7)). “Chi-squared” indicates the joint test that all coefficients are equal between the positive and negative
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
(1)
(2)
(3)
(4)
(5)
(6)
(7)
0.0142
(2.01)*
0.0009
(0.74)
-0.0026
(0.81)
-0.0003
(0.98)
0.0023
(0.70)
0.0019
(0.47)
-0.0037
(2.60)**
-0.0012
(1.10)
0.0322
(3.70)***
-0.0050
(1.11)
0.0001
(0.01)
-0.0006
(1.15)
-0.0013
(0.31)
-0.0033
(0.42)
-0.0047
(1.72)*
-0.0005
(0.26)
0.0001
(2.02)*
0.0169
(3.01)***
-0.0013
(1.17)
0.0000
(0.01)
-0.0002
(0.61)
-0.0001
(0.02)
0.0026
(0.75)
-0.0035
(1.97)*
-0.0007
(0.64)
0.0204
(3.24)***
-0.0010
(0.99)
-0.0004
(0.11)
-0.0003
(0.90)
-0.0002
(0.07)
0.0029
(0.81)
-0.0036
(2.02)*
-0.0008
(0.65)
0.0167
(2.69)**
-0.0010
(0.96)
0.0212
(3.73)***
0.0001
(0.06)
0.0058
(0.43)
-0.0097
(3.58)***,###
-0.0001
(0.15)
0.0007
(0.26)
-0.0031
(1.92)*
-0.0011
(1.14)
0.0000
(0.09)
0.0058
(1.13)
0.0019
(0.36)
-0.0068
(3.20)***
0.0007
(0.41)
-0.0001
(0.27)
-0.0074
(1.78)*,#
0.0053
(0.80)
0.0004
(0.19)##
-0.0017
(1.12)
-0.1481
(2.50)**
-0.2954
(2.63)**
0.0597
(0.47)#
S&P rating
SOX CAR
-0.1348
(2.20)**
SOX CAR (positive)
-0.3303
(1.83)*
0.0635
(0.55)
SOX CAR (negative)
FCF problem
-0.0008
(0.80)
-0.0022
(2.47)**
0.0029
(1.70)*
-0.0003
(0.85)
-0.0014
(2.55)**
0.0017
(0.83)
-0.0003
(0.73)
-0.0014
(2.79)***
-0.0018
(0.79)
-0.0070
(0.63)
0.0029
(1.91)*
-0.0004
(1.27)
-0.0015
(3.03)***
135
0.0290
321
0.0042
321
0.0101
313
0.0091
O-score
Anti-self-dealing
Log(GNP/capita)
0.0015
(0.80)
-0.0004
(1.21)
-0.0009
(1.52)
374
-0.0018
Adjusted R2
25
0.0035
0.0014
(1.39)
(0.47)
-0.0009
0.0004
(1.80)*
(0.49)
-0.0020
-0.0003
(4.53)***
(0.21)
4.16 (0.00)
159
0.0586
162
0.0206
Table IA.VII.b
Table A.I in the paper. The variable “Disclosure” is used instead of “Anti-self-dealing.” The t-statistics (in
parentheses) are adjusted for clustering on countries – they are computed assuming observations are independent
across countries, but not within countries. *, **, and *** indicate statistical significance at the 10%, 5%, and 1%
levels, respectively. The positive SOX CAR is not significantly different from the negative SOX CAR dummy in
Model (4). #, ##, and ### indicate statistical significance for a chi-squared test that tests whether the coefficients are
equal between the positive and negative financing deficit samples (Models (6) and (7)). “Chi-squared” indicates the
joint test that all coefficients are equal between the positive and negative financing deficit samples.
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
(1)
(2)
(3)
(4)
(5)
(6)
(7)
0.0057
(0.74)
-0.0001
(0.10)
0.0013
(0.39)
-0.0001
(0.45)
0.0042
(1.19)
0.0034
(0.66)
-0.0017
(1.17)
-0.0011
(0.93)
0.0322
(3.70)***
-0.0050
(1.11)
0.0001
(0.01)
-0.0006
(1.15)
-0.0013
(0.31)
-0.0033
(0.42)
-0.0047
(1.72)*
-0.0005
(0.26)
0.0001
(2.02)*
0.0110
(1.76)*
-0.0024
(1.35)
-0.0019
(0.88)
0.0001
(0.45)
0.0000
(0.01)
0.0001
(0.02)
-0.0014
(0.88)
-0.0006
(0.47)
0.0147
(2.14)**
-0.0022
(1.24)
-0.0020
(0.95)
0.0001
(0.21)
-0.0003
(0.11)
0.0002
(0.04)
-0.0016
(1.00)
-0.0006
(0.53)
0.0073
(0.97)
-0.0022
(1.36)
0.0130
(1.94)*
-0.0023
(1.03)
0.0098
(0.71)
-0.0087
(3.98)***,##
0.0003
(0.85)
-0.0002
(0.07)
-0.0009
(0.42)
-0.0011
(1.06)
0.0004
(0.89)
0.0050
(1.18)
-0.0033
(0.40)
-0.0059
(2.48)**
0.0007
(0.44)
0.0001
(0.21)
-0.0091
(2.74)**,##
0.0074
(1.64)
0.0030
(1.26)###
-0.0005
(0.27)
-0.0951
(1.23)
-0.2766
(2.75)**
0.0327
(0.25)
S&P rating
SOX CAR
-0.1271
(2.14)**
SOX CAR (positive)
-0.3185
(1.92)*
0.0618
(0.57)
SOX CAR (negative)
FCF problem
-0.0008
(0.80)
-0.0022
(2.47)**
0.0047
(1.56)
-0.0003
(0.56)
-0.0015
(2.13)**
0.0037
(1.30)
-0.0002
(0.53)
-0.0015
(2.31)**
0.0005
(0.25)
0.0030
(0.25)
0.0047
(1.48)
-0.0004
(0.85)
-0.0014
(2.03)*
135
0.0290
322
0.0028
322
0.0077
318
-0.0021
O-score
Disclosure
Log(GNP/capita)
0.0032
(1.03)
-0.0005
(1.28)
-0.0005
(0.59)
378
-0.0095
Adjusted R2
26
0.0049
0.0037
(1.45)
(0.67)
-0.0005
0.0004
(1.01)
(0.52)
-0.0020
-0.0012
(3.61)***
(0.71)
4.29 (0.00)
162
0.0305
160
0.0481
Table IA.VII.c
Table A.I in the paper. The variable “Accounting standards” is used instead of “Anti-self-dealing.” The tstatistics (in parentheses) are adjusted for clustering on countries – they are computed assuming observations are
independent across countries, but not within countries. *, **, and *** indicate statistical significance at the 10%,
5%, and 1% levels, respectively. The positive SOX CAR is not significantly different from the negative SOX CAR
dummy in Model (4). #, ##, and ### indicate statistical significance for a chi-squared test that tests whether the
coefficients are equal between the positive and negative financing deficit samples (Models (6) and (7)). “Chisquared” indicates the joint test that all coefficients are equal between the positive and negative financing deficit
samples.
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
(1)
(2)
(3)
(4)
(5)
(6)
(7)
0.0030
(0.38)
0.0000
(0.01)
0.0012
(0.37)
-0.0001
(0.48)
0.0044
(1.22)
0.0035
(0.69)
-0.0009
(0.69)
-0.0013
(1.25)
0.0322
(3.70)***
-0.0050
(1.11)
0.0001
(0.01)
-0.0006
(1.15)
-0.0013
(0.31)
-0.0033
(0.42)
-0.0047
(1.72)*
-0.0005
(0.26)
0.0001
(2.02)*
0.0082
(1.28)
-0.0024
(1.33)
-0.0015
(0.77)
0.0001
(0.45)
0.0001
(0.02)
0.0002
(0.05)
-0.0010
(0.68)
-0.0010
(0.91)
0.0118
(1.63)
-0.0022
(1.22)
-0.0017
(0.88)
0.0001
(0.22)
-0.0002
(0.07)
0.0003
(0.07)
-0.0011
(0.73)
-0.0010
(0.91)
0.0046
(0.59)
-0.0021
(1.34)
0.0102
(1.32)
-0.0022
(1.02)
0.0079
(0.62)
-0.0082
(3.94)***,#
0.0003
(0.90)
0.0000
(0.01)
-0.0003
(0.16)
-0.0014
(1.37)
0.0003
(0.90)
0.0050
(1.22)
-0.0026
(0.33)
-0.0057
(2.56)**
0.0002
(0.15)
0.0001
(0.28)
-0.0087
(2.62)**,##
0.0067
(1.49)
0.0033
(1.51)###
-0.0010
(0.63)
-0.0921
(1.28)
-0.2708
(2.84)***
0.0336
(0.26)
S&P rating
SOX CAR
-0.1263
(2.27)**
SOX CAR (positive)
-0.3106
(1.93)*
0.0633
(0.56)
SOX CAR (negative)
FCF problem
-0.0008
(0.80)
-0.0022
(2.47)**
0.0002
(2.72)**
-0.0002
(0.48)
-0.0020
(2.80)***
0.0002
(2.40)**
-0.0003
(0.58)
-0.0021
(3.13)***
0.0003
(0.11)
0.0018
(0.15)
0.0002
(2.81)***
-0.0004
(0.87)
-0.0020
(2.87)***
135
0.0290
325
0.0150
325
0.0202
321
0.0130
O-score
Accounting standards
Log(GNP/capita)
0.0002
(2.75)***
-0.0007
(1.75)*
-0.0013
(1.72)*
382
0.0075
Adjusted R2
27
0.0002
0.0002
(1.80)*
(1.62)
-0.0003
0.0003
(0.85)
(0.40)
-0.0024
-0.0018
(3.27)***
(1.15)
4.18 (0.00)
164
0.0357
161
0.0644
Table IA.VII.d
CARs are computed relative to an equal-weighted benchmark portfolio that includes all non-U.S. firms listed in the
Table A.I in the paper. The t-statistics (in parentheses) are adjusted for clustering on countries – they are computed
assuming observations are independent across countries, but not within countries. *, **, and *** indicate statistical
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
(1)
(2)
(3)
(4)
(5)
(6)
(7)
0.0110
(1.40)
-0.0007
(0.48)
0.0018
(0.62)
-0.0002
(0.68)
0.0035
(0.97)
0.0032
(0.63)
-0.0037
(2.47)**
-0.0012
(1.13)
0.0268
(3.23)***
-0.0052
(1.14)
0.0002
(0.03)
-0.0006
(1.13)
-0.0005
(0.11)
-0.0027
(0.34)
-0.0049
(1.75)*
-0.0005
(0.28)
0.0001
(2.40)**
0.0100
(1.73)*
-0.0032
(1.61)
0.0004
(0.17)
0.0001
(0.28)
-0.0006
(0.21)
0.0005
(0.12)
-0.0035
(2.25)**
-0.0008
(0.77)
0.0175
(2.65)**
-0.0026
(1.40)
0.0001
(0.03)
0.0000
(0.10)
-0.0009
(0.33)
0.0006
(0.14)
-0.0035
(2.28)**
-0.0009
(0.82)
0.0073
(1.01)
-0.0028
(1.56)
0.0131
(2.09)**
-0.0026
(1.12)
0.0000
(0.00)
-0.0095
(3.90)***,##
0.0002
(0.70)
0.0000
(0.01)
-0.0029
(1.61)
-0.0011
(1.23)
0.0004
(0.88)
0.0040
(0.98)
-0.0035
(0.43)
-0.0072
(3.24)***
0.0007
(0.48)
0.0000
(0.11)
-0.0073
(1.93)*,#
0.0072
(1.55)
0.0006
(0.31)###
-0.0015
(0.95)
-0.0996
(1.53)
-0.2284
(2.54)**
0.0505
(0.43)
S&P rating
SOX CAR
-0.1129
(2.25)**
SOX CAR (positive)
-0.3085
(1.53)
0.0257
(0.25)
SOX CAR (negative)
FCF problem
-0.0010
(1.03)
-0.0018
(2.03)*
0.0028
(1.72)*
-0.0003
(0.82)
-0.0011
(2.20)**
0.0020
(0.99)
0.0000
(0.07)
-0.0015
(3.01)***
-0.0002
(0.08)
-0.0003
(0.02)
0.0030
(1.82)*
-0.0004
(1.02)
-0.0011
(2.16)**
135
0.0136
338
0.0039
338
0.0091
333
0.0008
O-score
Anti-self-dealing
Log(GNP/capita)
0.0017
(0.84)
-0.0005
(1.58)
-0.0007
(1.31)
404
-0.0021
Adjusted R2
28
0.0044
0.0015
(2.08)**
(0.51)
-0.0004
0.0001
(1.24)
(0.07)
-0.0020
0.0002
(4.54)***
(0.14)
4.90 (0.00)
172
0.0347
166
0.0219
Table IA.VII.e
cumulative abnormal returns (CARs) estimated around all three event windows listed in Table VII. The CARs are
computed relative to a value-weighted benchmark portfolio that includes all non-U.S. firms listed in the U.S. via
Level 1 OTC or Rule 144a ADRs. The sample includes all non-financial exchange-listed firms with at least $10m in
total assets that have at least 260 daily return observations in Datastream from January 1, 2005 to December 31,
2007 and have accounting data in Worldscope in 2006. Models (1) to (5) include all firms with data on each firm
characteristic. Model (6) (Model (7)) is estimated for firms with a positive (negative) financing deficit. The Rule
12h-6 dummy equals one for firms that deregistered after Rule 12h-6. Other variable definitions are in Table A.I in
the paper. The t-statistics (in parentheses) are adjusted for clustering on countries – they are computed assuming
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
(1)
(2)
(3)
(4)
(5)
(6)
(7)
0.0031
(0.50)
-0.0008
(0.85)
-0.0017
(0.65)
0.0002
(0.78)
0.0060
(1.12)
0.0001
(0.06)
-0.0024
(1.41)
-0.0008
(1.04)
0.0204
(2.19)**
-0.0028
(0.78)
0.0012
(0.27)
-0.0001
(0.41)
-0.0013
(0.50)
-0.0017
(0.36)
-0.0053
(2.30)**
0.0008
(0.67)
0.0000
(1.64)
0.0054
(0.72)
-0.0021
(1.33)
-0.0026
(0.72)
0.0003
(1.21)
0.0044
(0.79)
-0.0039
(1.47)
-0.0027
(1.30)
-0.0004
(0.40)
0.0065
(0.82)
-0.0020
(1.26)
-0.0027
(0.74)
0.0002
(1.05)
0.0043
(0.80)
-0.0038
(1.44)
-0.0028
(1.32)
-0.0004
(0.41)
0.0063
(0.70)
-0.0035
(1.32)
0.0100
(1.12)
-0.0019
(1.71)
-0.0053
(0.67)
-0.0080
(2.01)*
0.0000
(0.06)
0.0039
(0.57)
-0.0028
(0.87)
-0.0016
(1.75)*
0.0002
(0.67)
0.0090
(1.18)
-0.0079
(2.74)**
-0.0022
(0.92)
-0.0003
(0.20)
0.0004
(1.33)
-0.0015
(0.67)
0.0060
(2.05)**,###
-0.0015
(0.74)
-0.0002
(0.15)
-0.0196
(0.46)
-0.0661
(1.20)
0.1033
(1.43)
S&P rating
SOX CAR
-0.0071
(0.17)
SOX CAR (positive)
-0.0713
(0.67)
0.0570
(0.77)
SOX CAR (negative)
FCF problem
-0.0011
(1.93)*
-0.0016
(2.20)**
0.0015
(0.99)
-0.0011
(3.32)***
-0.0009
(1.30)
0.0011
(0.66)
-0.0011
(3.34)***
-0.0009
(1.34)
0.0016
(0.52)
0.0092
(0.66)
0.0018
(1.12)
-0.0010
(3.33)***
-0.0006
(0.75)
135
0.0531
338
0.0471
338
0.0457
333
0.0329
O-score
Anti-self-dealing
Log(GNP/capita)
0.0001
(0.08)
-0.0010
(4.19)***
-0.0005
(0.86)
404
0.0418
Adjusted R2
29
0.0025
0.0001
(0.95)
(0.06)
-0.0011
-0.0008
(2.07)*
(1.21)
-0.0014
0.0000
(1.92)*
(0.02)
4.84 (0.00)
172
0.0794
166
0.0696
Table IA.VII.f
cumulative abnormal returns (CARs) estimated over the March 21, 22, and 23 event window as in Fernandes,
Lel, and Miller (2010). Rule 12h-6 announcement date. The CARs are computed relative to a value-weighted
benchmark portfolio that includes all non-U.S. firms listed in the U.S. via Level 1 OTC or Rule 144a ADRs. The
sample includes all non-financial exchange-listed firms with at least $10m in total assets that have at least 260 daily
return observations in Datastream from January 1, 2005 to December 31, 2007 and have accounting data in
Worldscope in 2006. Models (1) to (5) include all firms with data on each firm characteristic. Model (6) (Model (7))
is estimated for firms with a positive (negative) financing deficit. The Rule 12h-6 dummy equals one for firms that
deregistered after Rule 12h-6. Other variable definitions are in Table A.I in the paper. The t-statistics (in
parentheses) are adjusted for clustering on countries – they are computed assuming observations are independent
across countries, but not within countries. *, **, and *** indicate statistical significance at the 10%, 5%, and 1%
levels, respectively. The positive SOX CAR is not significantly different from the negative SOX CAR dummy in
Model (4). #, ##, and ### indicate statistical significance for a chi-squared test that tests whether the coefficients are
equal between the positive and negative financing deficit samples (Models (6) and (7)). “Chi-squared” indicates the
joint test that all coefficients are equal between the positive and negative financing deficit samples.
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
(1)
(2)
(3)
(4)
(5)
(6)
(7)
0.0152
(1.28)
0.0082
(2.77)***
0.0021
(0.49)
-0.0003
(0.73)
0.0063
(1.06)
-0.0061
(1.65)
-0.0075
(4.07)***
-0.0011
(1.33)
0.0140
(2.39)**
-0.0106
(2.57)**
-0.0033
(0.57)
0.0006
(1.59)
-0.0023
(0.67)
-0.0032
(0.53)
-0.0050
(2.08)**
0.0005
(0.34)
0.0001
(2.60)**
0.0095
(1.76)*
-0.0030
(1.50)
-0.0005
(0.14)
0.0001
(0.47)
-0.0048
(1.93)*
-0.0003
(0.08)
-0.0046
(2.79)***
-0.0011
(1.24)
0.0109
(1.90)*
-0.0029
(1.43)
-0.0006
(0.18)
0.0001
(0.36)
-0.0048
(1.90)*
-0.0002
(0.06)
-0.0046
(2.78)***
-0.0012
(1.26)
0.0050
(0.89)
-0.0027
(1.39)
0.0106
(1.53)
-0.0021
(0.94)
0.0072
(0.59)
-0.0103
(3.69)***,##
0.0005
(2.43)**
-0.0035
(1.58)
-0.0028
(1.64)
-0.0010
(0.99)
0.0004
(0.84)
-0.0034
(1.77)*
-0.0040
(0.64)
-0.0070
(2.21)**
0.0017
(1.16)
0.0000
(0.01)
-0.0063
(1.40)
0.0040
(0.67)
-0.0028
(1.36)
-0.0036
(2.75)**,##
-0.2163
(3.16)***
-0.2043
(3.23)***
-0.1379
(1.00)
S&P rating
SOX CAR
-0.1897
(2.97)***
SOX CAR (positive)
-0.2764
(1.74)*
-0.1032
(0.80)
SOX CAR (negative)
FCF problem
-0.0017
(1.49)
-0.0025
(3.59)***
0.0028
(1.54)
-0.0007
(2.21)**
-0.0010
(2.10)**
0.0022
(1.13)
-0.0007
(2.18)**
-0.0010
(2.17)**
-0.0041
(1.40)
0.0034
(0.58)
0.0032
(1.56)
-0.0009
(1.52)
-0.0012
(2.19)**
135
0.0575
338
0.0330
338
0.0318
333
0.0366
O-score
Anti-self-dealing
Log(GNP/capita)
0.0028
(0.89)
-0.0007
(1.15)
-0.0012
(1.27)
404
0.0756
Adjusted R2
30
0.0063
-0.0011
(2.26)**
(0.39)##
-0.0007
-0.0005
(0.92)
(0.75)
-0.0017
-0.0003
(3.50)***
(0.26)
2.20 (0.04)
172
0.0315
166
0.0456
Table IA.VIII.a
Stock-price Reactions Around Deregistration Announcements
This table shows the cumulative abnormal returns (CARs) for firms that announced deregistration between 2002 and
2008. The sample includes 109 deregistering firms (44 firms prior to Rule 12h-6 and 65 firms after Rule 12h-6)
with stock return data in Datastream around the deregistration announcement. Three firms are excluded from the
sample because they released other significant news on the same day they announced deregistration. Announcement
dates are identified from Lexis-Nexis searches, from SEC filings such as Form 6K, and for firms that deregistered
under Rule 12h-6, from Form 15F filings. All returns are in U.S. dollars. Returns are adjusted with a market model
using one of two possible benchmark portfolios. The first value-weighted benchmark portfolio includes either all
non-U.S. firms cross-listed in the U.S. via Level 1 OTC or Rule 144a ADRs and the second includes all non-U.S.
cross-listed on U.S. exchanges that did not deregister. In both portfolios, firms are required to have at least 260 daily
observations during the sample period and $100 million in total assets. Market model parameters are estimated over
the period from day -244 to -6. CARs are computed over the three-day window (-1, +1) around the announcement
date. Significance of average CARs is based on t-statistics that account for cross-sectional dependence as in Brown
and Warner (1985). The binomial test tests whether the percentage of negative CARs is different from 50% (p-value
reported). *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively. #, ##, and ###
indicate that the average CAR for Rule 12h-6 firms is significantly different from the average CAR for firms that
deregistered prior to Rule 12h-6.
Level 1 OTC and Rule 144a ADRs
as benchmark firms
Non-U.S. firms on U.S. exchanges
as benchmark firms
CAR
-0.57%
-0.63
t-statistic
(1.59)
(1.72)*
% negative
64%
62%
All firms
**
0.024**
CAR
-1.13%
-1.18%
t-statistic
(1.46)
(1.51)
% negative
65%
65%
Binomial test (p-value)
0.002
Pre-Rule 12h-6 deregistering firms
*
0.066*
CAR
-0.19%
-0.24%
t-statistic
(0.51)
(0.66)
% negative
61%
60%
0.107
0.130
0.066
Rule 12h-6 deregistering firms
31
Table IA.VIII.b
2008. The sample includes 137 deregistering firms (62 firms prior to Rule 12h-6 and 75 firms after Rule 12h-6) with
stock return data in Datastream around the deregistration announcement plus 10 additional firms (nine firms
before Rule12h-6 and one after) that announced voluntary delisting and deregistration, but were at risk of
being involuntarily delisted. Five firms are excluded from the sample because they released other significant news
on the same day they announced deregistration. Announcement dates are identified from Lexis-Nexis searches, from
SEC filings such as Form 6K, and for firms that deregistered under Rule 12h-6, from Form 15F filings. All returns
are in U.S. dollars. Returns are adjusted with a market model using one of two possible benchmark portfolios. The
first value-weighted benchmark portfolio includes either all non-U.S. firms cross-listed in the U.S. via Level 1 OTC
or Rule 144a ADRs and the second includes all non-U.S. cross-listed on U.S. exchanges that did not deregister. In
both portfolios, firms are required to have at least 260 daily observations during the sample period and $10 million
in total assets. Market model parameters are estimated over the period from day -244 to -6. CARs are computed over
the three-day window (-1, +1) around the announcement date. Significance of average CARs is based on t-statistics
that account for cross-sectional dependence as in Brown and Warner (1985). The binomial test tests whether the
percentage of negative CARs is different from 50% (p-value reported). *, **, and *** indicate statistical
significance at the 10%, 5%, and 1% levels, respectively. #, ##, and ### indicate that the average CAR for Rule 12h6 firms is significantly different from the average CAR for firms that deregistered prior to Rule 12h-6.
as benchmark firms
as benchmark firms
-1.15%
-1.15%
All firms
CAR
t-statistic
% negative
(2.64)
***
57%
(2.64)**
60%
*
0.018**
-1.98%
-1.91%
**
(2.27)**
0.092
CAR
t-statistic
% negative
(2.37)
61%
64%
**
0.014**
-0.41%#
-0.47%#
t-statistic
(1.02)
(1.17)
% negative
62%
64%
0.047**
0.024**
0.026
CAR
32
Table IA.VIII.c
2008. The sample includes 137 deregistering firms (62 firms prior to Rule 12h-6 and 75 firms after Rule 12h-6) with
stock return data in Datastream around the deregistration announcement. Five firms are excluded from the sample
because they released other significant news on the same day they announced deregistration. Announcement dates
are identified from Lexis-Nexis searches, from SEC filings such as Form 6K, and for firms that deregistered under
Rule 12h-6, from Form 15F filings. All returns are in U.S. dollars. Returns are adjusted with a market model using
one of two possible benchmark portfolios. The first equal-weighted benchmark portfolio includes either all nonU.S. firms cross-listed in the U.S. via Level 1 OTC or Rule 144a ADRs and the second includes all non-U.S. crosslisted on U.S. exchanges that did not deregister. In both portfolios, firms are required to have at least 260 daily
observations during the sample period and $10 million in total assets. Market model parameters are estimated over
the period from day -244 to -6. CARs are computed over the three-day window (-1, +1) around the announcement
date. Significance of average CARs is based on t-statistics that account for cross-sectional dependence as in Brown
and Warner (1985). The binomial test tests whether the percentage of negative CARs is different from 50% (p-value
reported). *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively. #, ##, and ###
indicate that the average CAR for Rule 12h-6 firms is significantly different from the average CAR for firms that
deregistered prior to Rule 12h-6.
as benchmark firms
as benchmark firms
-1.20%
-1.11%
All firms
CAR
t-statistic
% negative
(2.94)
***
64%
(2.66)***
63%
***
0.004***
-2.19%
-2.12%
0.001
CAR
t-statistic
% negative
(2.74)
***
75%
(2.61)**
69%
***
0.004***
-0.43%#
-0.33%#
t-statistic
(1.06)
(0.79)
% negative
58%
64%
0.200
0.019**
0.000
CAR
33
Table IA.IX.a
Cross-sectional Regressions of Stock-price Reactions Around Deregistration Announcement Dates
cumulative abnormal returns (CARs) estimated around firms’ deregistration announcement dates. The CARs are
Level 1 OTC or Rule 144a ADRs. The sample includes 103 non-financial deregistering firms with at least $100m in
total assets, that have deregistration announcement CARS in Table VIII, and have complete data on firm
characteristics in the year prior to deregistration. Models (1) to (4) and (7) include all deregistering firms with data
on each firm characteristic. Model (5) (Model (6)) is estimated for firms that deregistered prior to Rule 12h-6 (after
Rule 12h-6). Model (8) (Model (9)) is estimated for firms with a positive (negative) financing deficit. The Rule 12h6 dummy equals one for firms that deregistered after Rule 12h-6. Other variable definitions are in Table A.I in the
paper. t-statistics are in parentheses. *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels,
respectively. The positive SOX CAR is not significantly different from the negative SOX CAR dummy in Model
(4). #, ##, and ### indicate statistical significance for a chi-squared test that tests whether the coefficients are equal
between the pre-Rule12h-6 and Rule 12h-6 samples (Models (5) and (6)) or between the positive and negative
financing deficit samples (Models (8) and (9)). “Chi-squared” indicates the joint test that all coefficients are equal
between the pre-Rule 12h-6 and Rule 12h-6 samples or between the positive and negative financing deficit samples.
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
SOX cost
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
-0.1103
(1.19)
-0.0048
(0.25)
-0.0947
(2.29)**
-0.0007
(0.25)
0.0344
(1.31)
-0.0202
(0.53)
-0.0217
(0.97)
0.0020
(0.19)
0.0043
(0.43)
-0.8391
(4.43)***
-0.0776
(1.59)
-0.1293
(1.92)*
0.0086
(1.92)*
0.0945
(1.86)*
-0.0086
(0.12)
0.0017
(0.06)
0.0122
(0.77)
-0.0035
(0.28)
-0.0006
(0.91)
-0.1618
(1.69)*
-0.0239
(1.24)
-0.0670
(1.55)
-0.0003
(0.11)
0.0252
(0.99)
-0.0331
(0.87)
-0.0115
(0.54)
-0.0010
(0.10)
-0.1371
(1.43)
-0.0217
(1.13)
-0.0692
(1.61)
-0.0017
(0.63)
0.0283
(1.12)
-0.0281
(0.74)
-0.0174
(0.80)
-0.0007
(0.07)
0.0483
(0.24)
-0.0341
(1.54)
-0.0926
(1.75)*
-0.0065
(1.49)
-0.0119
(0.31)
-0.0179
(0.31)
-0.0143
(0.46)
-0.2749
(0.89)
-0.0405
(1.14)
-0.0513
(1.15)
0.0030
(1.16)
0.0412
(1.11)
-0.0037
(0.08)
-0.0172
(0.73)
-0.1471
(1.49)
-0.0273
(1.40)
0.0245
(0.19)
-0.0261
(1.36)
-0.3583
(2.84)***,##
-0.0225
(0.45)
-0.0004
(0.17)
0.0252
(0.84)
-0.0106
(0.50)
-0.0028
(0.28)
0.0051
(1.55)
-0.0690
(2.06)**
-0.0817
(1.69)
-0.0222
(0.87)
0.0255
(1.94)*
-0.0028
(0.71)
0.0820
(2.24)**,###
0.0089
(0.15)
0.0132
(0.41)
-0.0093
(0.66)#
1.2900
(1.20)
0.6193
(1.00)
0.8141
(1.28)
0.9959
(1.24)
0.0593
(0.07)
S&P rating
SOX CAR
0.7333
(1.17)
SOX CAR (positive)
-1.0473
(0.80)
2.0824
(1.94)*
SOX CAR (negative)
FCF problem
O-score
Anti-self-dealing
Log(GNP/capita)
-0.0134
(0.80)
-0.0010
(0.16)
0.0115
(1.30)
103
0.0139
-0.0056
(0.50)
0.0670
(3.27)***
-0.0025
(0.16)
-0.0010
(0.17)
0.0160
(1.72)*
-0.0080
(0.50)
-0.0027
(0.43)
0.0169
(1.82)*
-0.0211
0.0071
(0.92)
(0.35)
-0.0087
-0.0001
(0.40)
(0.02)
0.0066
0.0207
(0.28)
(0.72)
1.66 (0.101)
46
0.3401
96
0.0161
96
0.0321
34
0.0592
Adjusted R2
34
62
0.0142
-0.0143
(0.41)
-0.0013
(0.02)
-0.0013
(0.08)
-0.0006
(0.10)
0.0147
(1.55)
97
-0.0226
-0.0110
0.0111
(0.54)
(0.49)
0.0073
-0.0108
(0.80)
(1.34)
-0.0091
0.0376
(0.73)
(3.05)***,###
2.20 (0.02)
40
0.1310
56
0.1171
Table IA.IX.b
Level 1 OTC or Rule 144a ADRs. The sample includes 115 non-financial deregistering firms plus eight additional
firms that announced voluntary delisting and deregistration, but were at risk of being involuntarily delisted,
with at least $10m in total assets, that have deregistration announcement CARS in Table VIII, and have complete
data on firm characteristics in the year prior to deregistration. Models (1) to (4) and (7) include all deregistering
firms with data on each firm characteristic. Model (5) (Model (6)) is estimated for firms that deregistered prior to
Rule 12h-6 (after Rule 12h-6). Model (8) (Model (9)) is estimated for firms with a positive (negative) financing
deficit. The Rule 12h-6 dummy equals one for firms that deregistered after Rule 12h-6. Other variable definitions
are in Table A.I in the paper. t-statistics are in parentheses. *, **, and *** indicate statistical significance at the 10%,
5%, and 1% levels, respectively. ^^ indicates that the positive SOX CAR is significantly different from the negative
SOX CAR at the 5% level. #, ##, and ### indicate statistical significance for a chi-squared test that tests whether the
coefficients are equal between the pre-Rule12h-6 and Rule 12h-6 samples (Models (5) and (6)) or between the
positive and negative financing deficit samples (Models (8) and (9)). “Chi-squared” indicates the joint test that all
coefficients are equal between the pre-Rule 12h-6 and Rule 12h-6 samples or between the positive and negative
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
SOX cost
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
-0.1277
(1.59)
0.0002
(0.01)
-0.1404
(4.30)***
0.0014
(0.61)
0.0409
(1.79)*
0.0002
(0.01)
-0.0049
(0.25)
0.0022
(0.24)
-0.0004
(0.05)
-0.6983
(3.76)***
-0.0577
(1.14)
-0.1259
(1.79)*
0.0088
(1.90)*
0.1368
(2.76)***
0.0405
(0.56)
0.0235
(0.81)
0.0007
(0.05)
-0.0052
(0.39)
-0.0010
(1.62)
-0.1534
(1.84)*
-0.0107
(0.65)
-0.1258
(3.66)***
0.0015
(0.68)
0.0340
(1.50)
-0.0030
(0.11)
0.0026
(0.13)
-0.0022
(0.24)
-0.1299
(1.57)
-0.0101
(0.63)
-0.1249
(3.70)***
0.0003
(0.13)
0.0385
(1.72)*
-0.0026
(0.10)
-0.0033
(0.17)
-0.0021
(0.23)
-0.0272
(0.18)
-0.0078
(0.38)
-0.1508
(3.34)***
0.0003
(0.08)
0.0040
(0.12)
0.0137
(0.28)
0.0016
(0.06)
-0.2648
(0.90)
-0.0382
(1.36)
-0.0339
(0.91)#
0.0027
(1.38)
0.0277
(0.85)
-0.0307
(1.12)
-0.0183
(0.79)
-0.1449
(1.65)
-0.0341
(2.06)**
-0.0464
(0.31)
-0.0289
(1.48)
-0.2424
(2.17)**
-0.0034
(0.08)
0.0033
(1.43)
0.0063
(0.24)
0.0136
(0.69)
-0.0019
(0.19)
0.0085
(2.34)**
-0.0765
(1.96)*
-0.0193
(0.52)
0.0271
(0.95)
0.0233
(1.49)
0.0004
(0.12)
0.0723
(2.43)**,###
-0.0036
(0.07)
0.0113
(0.41)
-0.0146
(1.09)#
0.2591
(0.24)
0.6363
(1.01)
-0.0790
(0.13)
0.5012
(0.55)
-0.1099
(0.13)
S&P rating
SOX CAR
0.1472
(0.25)
SOX CAR (positive)
-1.9466
(1.67)*
1.8401
(1.83)*,^^
SOX CAR (negative)
FCF problem
O-score
Anti-self-dealing
Log(GNP/capita)
-0.0219
(1.45)
-0.0006
(0.09)
0.0100
(1.32)
123
0.1453
-0.0034
(0.29)
0.0550
(2.66)**
-0.0106
(0.70)
0.0001
(0.02)
0.0121
(1.52)
-0.0149
(1.00)
-0.0016
(0.27)
0.0129
(1.64)
-0.0368
0.0069
(1.62)
(0.36)
-0.0005
0.0003
(0.02)
(0.04)
0.0034
0.0207
(0.22)
(0.73)
1.13 (0.35)
48
0.2459
114
0.1201
114
0.1480
47
0.2476
Adjusted R2
35
67
0.0501
0.0010
(0.04)
0.0363
(0.83)
-0.0030
(0.19)
0.0008
(0.13)
0.0084
(1.01)
115
0.0129
-0.0150
0.0156
(0.60)
(0.73)
0.0048
-0.0078
(0.42)
(1.00)
-0.0080
0.0218
(0.55)
(2.12)**
1.74 (0.076)
51
0.0876
63
0.0464
Table IA.IX.c
computed relative to an equal-weighted benchmark portfolio that includes all non-U.S. firms listed in the U.S. via
Level 1 OTC or Rule 144a ADRs. The sample includes 115 non-financial deregistering firms with at least $10m in
respectively. ^ indicates that the positive SOX CAR is significantly different from the negative SOX CAR at the
10% level. #, ##, and ### indicate statistical significance for a chi-squared test that tests whether the coefficients are
equal between the pre-Rule12h-6 and Rule 12h-6 samples (Models (5) and (6)) or between the positive and negative
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
SOX cost
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
-0.1579
(1.77)*
0.0040
(0.24)
-0.1315
(3.83)***
0.0005
(0.22)
0.0441
(1.79)*
-0.0029
(0.11)
-0.0167
(0.80)
0.0030
(0.31)
-0.0013
(0.14)
-0.8486
(4.32)***
-0.0831
(1.64)
-0.1310
(1.88)*
0.0079
(1.69)*
0.0982
(1.86)*
-0.0154
(0.20)
-0.0001
(0.00)
0.0175
(1.07)
-0.0041
(0.31)
-0.0006
(0.88)
-0.2090
(2.20)**
-0.0077
(0.46)
-0.1123
(3.12)***
0.0007
(0.32)
0.0345
(1.42)
-0.0064
(0.23)
-0.0071
(0.35)
-0.0014
(0.14)
-0.1849
(1.95)*
-0.0071
(0.43)
-0.1108
(3.11)***
-0.0003
(0.14)
0.0393
(1.63)
-0.0057
(0.21)
-0.0115
(0.56)
-0.0015
(0.16)
0.0074
(0.03)
0.0018
(0.08)
-0.1193
(2.40)**
-0.0009
(0.19)
-0.0052
(0.12)
0.0245
(0.44)
-0.0120
(0.36)
-0.2820
(0.93)
-0.0414
(1.44)
-0.0362
(0.93)
0.0027
(1.42)
0.0292
(0.90)
-0.0367
(1.39)
-0.0207
(0.89)
-0.1965
(1.98)*
-0.0269
(1.59)
-0.0539
(0.37)
-0.0166
(0.96)
-0.3627
(2.91)***
-0.0331
(0.76)
0.0026
(1.11)
0.0034
(0.12)
0.0018
(0.09)
-0.0014
(0.14)
0.0085
(2.68)**
-0.0920
(2.67)**
-0.0316
(0.96)
0.0011
(0.04)
0.0222
(1.63)
-0.0015
(0.40)##
0.1011
(3.09)***,###
0.0269
(0.49)
0.0068
(0.23)
-0.0094
(0.67)
0.2459
(0.21)
0.6855
(1.22)
0.0866
(0.14)
0.7183
(0.89)
-0.2277
(0.26)
S&P rating
SOX CAR
0.2725
(0.45)
SOX CAR (positive)
-1.5676
(1.31)
1.7403
(1.71)*,^
SOX CAR (negative)
FCF problem
O-score
Anti-self-dealing
Log(GNP/capita)
-0.0232
(1.48)
-0.0011
(0.18)
0.0144
(1.66)
115
0.1027
-0.0081
(0.69)
0.0689
(3.24)***
-0.0112
(0.73)
-0.0004
(0.06)
0.0187
(2.01)**
-0.0158
(1.02)
-0.0020
(0.32)
0.0191
(2.08)**
-0.0310
0.0014
(1.26)
(0.07)
-0.0009
-0.0001
(0.04)
(0.01)
0.0020
0.0227
(0.08)
(0.79)
0.85 (0.58)
46
0.3235
106
0.0625
106
0.0839
40
0.0210
Adjusted R2
36
66
0.0708
-0.0067
(0.23)
0.0449
(1.02)
-0.0039
(0.25)
0.0007
(0.12)
0.0146
(1.52)
107
-0.0196
-0.0154
0.0057
(0.70)
(0.26)
0.0056
-0.0110
(0.57)
(1.38)
-0.0063
0.0359
(0.45)
(2.97)***,##
2.65 (0.00)
47
0.1183
59
0.1302
Table IA.IX.d
computed relative to a value-weighted benchmark portfolio that includes all non-U.S. firms listed on a U.S.
exchange that did not deregister. The sample includes 115 non-financial deregistering firms with at least $10m in
respectively. ^ indicates that the positive SOX CAR is significantly different from the negative SOX CAR at the
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
SOX cost
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
-0.1692
(1.93)*
0.0048
(0.29)
-0.1305
(3.87)***
0.0010
(0.41)
0.0441
(1.83)*
-0.0082
(0.30)
-0.0163
(0.80)
0.0010
(0.11)
-0.0022
(0.24)
-0.8382
(4.26)***
-0.0700
(1.38)
-0.1255
(1.80)*
0.0076
(1.63)
0.0881
(1.67)
-0.0115
(0.15)
-0.0039
(0.12)
0.0120
(0.73)
-0.0039
(0.30)
-0.0005
(0.71)
-0.2242
(2.39)**
-0.0043
(0.26)
-0.1147
(3.22)***
0.0010
(0.42)
0.0359
(1.50)
-0.0076
(0.28)
-0.0095
(0.47)
-0.0030
(0.32)
-0.1993
(2.13)**
-0.0037
(0.23)
-0.1131
(3.22)***
-0.0001
(0.06)
0.0409
(1.72)*
-0.0069
(0.25)
-0.0140
(0.69)
-0.0032
(0.34)
0.0061
(0.03)
0.0030
(0.13)
-0.1284
(2.61)**
-0.0015
(0.32)
-0.0033
(0.08)
0.0102
(0.18)
-0.0212
(0.64)
-0.3159
(1.07)
-0.0310
(1.11)
-0.0520
(1.20)
0.0029
(1.41)
0.0409
(1.28)
-0.0048
(0.17)
-0.0200
(0.88)
-0.2123
(2.16)**
-0.0242
(1.44)
-0.0722
(0.49)
-0.0098
(0.56)
-0.3560
(2.91)***
-0.0230
(0.54)
0.0029
(1.25)
0.0038
(0.14)
0.0000
(0.00)
-0.0029
(0.30)
0.0089
(2.81)***
-0.0840
(2.42)**
-0.0284
(0.86)
0.0045
(0.17)
0.0224
(1.64)
-0.0021
(0.57)##
0.0947
(2.95)***,###
0.0147
(0.27)
0.0000
(0.00)
-0.0094
(0.68)
0.6791
(0.58)
0.6093
(1.02)
0.3492
(0.56)
1.2755
(1.57)
-0.0860
(0.10)
S&P rating
SOX CAR
0.5456
(0.90)
SOX CAR (positive)
-1.3508
(1.15)
2.0583
(2.05)**,^
SOX CAR (negative)
FCF problem
O-score
Anti-self-dealing
Log(GNP/capita)
-0.0202
(1.31)
-0.0017
(0.28)
0.0149
(1.75)*
115
0.1048
-0.0050
(0.43)
0.0680
(3.20)***
-0.0104
(0.68)
-0.0013
(0.21)
0.0201
(2.18)**
-0.0151
(0.99)
-0.0029
(0.48)
0.0205
(2.26)**
-0.0345
0.0054
(1.42)
(0.29)
-0.0062
0.0002
(0.26)
(0.03)
0.0039
0.0249
(0.15)
(0.88)
0.94 (0.50)
46
0.3152
106
0.0720
106
0.0959
40
0.0330
Adjusted R2
37
66
0.0967
-0.0089
(0.31)
0.0466
(1.06)
-0.0030
(0.19)
0.0000
(0.00)
0.0159
(1.67)*
107
-0.0138
-0.0165
0.0098
(0.75)
(0.46)
0.0019
-0.0113
(0.19)
(1.44)
-0.0050
0.0365
(0.36)
(3.07)***,##
2.75 (0.00)
47
0.1133
59
0.1349
Table IA.IX.e
computed relative to an equal-weighted benchmark portfolio that includes all non-U.S. firms listed on a U.S.
exchange that did not deregister. The sample includes 115 non-financial deregistering firms with at least $10m in
Rule 12h-6). Model (8) (Model (9)) is estimated for firms with a positive (negative) financing deficit. The Rule 12h6 dummy equals one for firms that deregistered after Rule 12h-6. Other variable definitions are in Table A.i in the
respectively. ^^ indicates that the positive SOX CAR is significantly different from the negative SOX CAR at the
Constant
Sales growth
Financing deficit
Log(assets)
Leverage
ROA
Ownership
Rule 12h-6 dummy
SOX cost
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
-0.1635
(1.88)*
0.0006
(0.03)
-0.1317
(3.93)***
0.0005
(0.21)
0.0493
(2.06)**
-0.0055
(0.21)
-0.0234
(1.16)
0.0029
(0.31)
-0.0025
(0.28)
-0.8446
(4.13)***
-0.0602
(1.14)
-0.1309
(1.80)*
0.0058
(1.19)
0.0995
(1.81)*
-0.0126
(0.16)
-0.0079
(0.24)
0.0146
(0.86)
-0.0055
(0.40)
-0.0006
(0.80)
-0.2079
(2.22)**
-0.0095
(0.57)
-0.1176
(3.31)***
0.0006
(0.25)
0.0401
(1.68)*
-0.0086
(0.31)
-0.0159
(0.78)
-0.0013
(0.14)
-0.1810
(1.95)*
-0.0088
(0.54)
-0.1159
(3.32)***
-0.0006
(0.26)
0.0456
(1.93)*
-0.0078
(0.29)
-0.0208
(1.03)
-0.0015
(0.16)
0.0099
(0.04)
-0.0049
(0.23)
-0.1345
(2.83)***
-0.0010
(0.22)
0.0007
(0.02)
0.0016
(0.03)
-0.0254
(0.79)
-0.2830
(0.94)
-0.0326
(1.15)
-0.0503
(1.11)
0.0024
(1.14)
0.0448
(1.35)
-0.0124
(0.45)
-0.0247
(1.09)
-0.1929
(1.97)*
-0.0309
(1.84)*
-0.0598
(0.40)
-0.0165
(0.93)
-0.3441
(2.82)***
-0.0245
(0.57)
0.0027
(1.15)
0.0074
(0.27)
-0.0053
(0.26)
-0.0009
(0.10)
0.0079
(2.43)**
-0.0770
(2.16)**
-0.0259
(0.77)
-0.0028
(0.10)
0.0204
(1.45)
-0.0022
(0.57)##
0.0963
(3.01)***,###
0.0033
(0.06)
-0.0068
(0.24)
-0.0072
(0.53)
0.2170
(0.19)
0.4658
(0.73)
0.0583
(0.09)
0.7985
(0.96)
-0.2109
(0.25)
S&P rating
SOX CAR
0.2780
(0.46)
SOX CAR (positive)
-1.7713
(1.51)
1.9126
(1.91)*,^^
SOX CAR (negative)
FCF problem
O-score
Anti-self-dealing
Log(GNP/capita)
-0.0227
(1.49)
-0.0031
(0.50)
0.0154
(1.82)*
115
0.1279
-0.0100
(0.83)
0.0723
(3.27)***
-0.0119
(0.78)
-0.0024
(0.40)
0.0193
(2.10)**
-0.0170
(1.12)
-0.0042
(0.69)
0.0198
(2.19)**
-0.0347
0.0021
(1.48)
(0.11)
-0.0032
-0.0015
(0.14)
(0.19)
0.0027
0.0231
(0.11)
(0.80)
0.82 (0.61)
46
0.2824
106
0.0871
106
0.1163
40
0.0747
Adjusted R2
38
66
0.0724
-0.0164
(0.57)
0.0434
(0.99)
-0.0041
(0.26)
-0.0009
(0.14)
0.0146
(1.53)
107
-0.0021
-0.0179
0.0104
(0.79)
(0.49)
0.0047
-0.0139
(0.46)
(1.78)*
-0.0049
0.0358
(0.34)
(3.02)***,##
2.54 (0.00)
47
0.0726
59
0.1456
Table IA.X
Sample of Deregistering Firms
This table provides the list of 141 non-U.S. firms that voluntarily delisted and deregistered between 2002 and 2008. There are 66 firms that deregistered prior to
Rule 12h-6 (Panel A) and 75 firms that deregistered using Rule 12h-6 (Panel B).
Deregistration
Filing
Announcement Country of
Home trading market
Company name
form type
date
date
domicile
Panel A. Pre-Rule 12h-6 Deregistering Firms
Alliance Atlantis Communications Inc
AT Plastics Inc
Autonomy Corp PLC
Banco Comercial Portugues SA
Banco Totta & Acores SA
Baran Group Ltd
Biacore International AB
Cable & Wireless PLC
BE Semiconductor Industries NV
Colt Telecom Group PLC
Completel Europe NV
Controladora Comercial Mexicana SA de CV
Cristalerias de Chile SA (Glassworks of Chile)
Datamirror Corp
Dectrol Internationale
Desc SA de CV
Dialog Semiconductor PLC
E Machitown Co Ltd (formerly Crayfish Co)
Eimo OYJ
Elamex SA de CV
Enodis PLC (formerly Berisford)
Espirito Santo Financial Group SA
Esprit Energy Trust (formerly Esprit Exploration; Canadian 88 Energy)
Fisher & Paykel Healthcare Corp Ltd (formerly Fisher & Paykel Industries)
Fletcher Building Ltd (formerly Fletcher Challenge Building)
FNX Mining Company Inc (formerly Fort Knox Gold Resources)
Group Iusacell SA de CV
Hot Cable Systems Media Ltd (formerly Matav-Cable Systems Media)
Icos Vision Systems Corp NV
Incam AG
Inficon Holding AG
Internacional de Ceramica SA de CV
Intershop Communications AG
ITO-Yokado Co Ltd
15-12G
15-15D
15-12G
15-12G
15-12B
15-12G
15-12G
15-12B
15-12G
15-12G
15-12G
15-15D
15-12B
15-12G
15-12G
15-12B
15-12G
15-12G
15-12G
15-12G
15-12B
15-15D
15-12B
15-12G
15-12B
15-12B
15-15D
15-12G
15-12G
15-12G
15-12G
15-15D
15-12G
15-12G
9/26/2006
5/30/2002
4/29/2005
10/16/2003
11/21/2003
7/9/2004
12/29/2004
6/9/2006
1/8/2007
6/19/2006
10/17/2003
12/8/2006
7/15/2005
3/1/2006
2/28/2007
1/6/2005
2/7/2007
5/23/2005
12/13/2002
1/30/2006
8/2/2005
5/25/2006
9/23/2002
2/28/2003
12/17/2002
6/14/2006
9/14/2006
6/30/2006
11/6/2006
7/11/2003
9/8/2005
2/2/2005
3/26/2004
4/6/2004
39
9/26/2006
5/3/2002
4/29/2005
10/16/2003
11/21/2003
6/25/2004
12/29/2004
9/19/2005
12/13/2006
2/3/2006
5/27/2002
10/20/2006
4/19/2005
11/1/2005
2/28/2007
10/20/2004
11/1/2006
8/22/2003
12/13/2002
1/27/2006
5/16/2005
4/28/2006
9/20/2002
12/5/2002
12/17/2002
5/23/2006
9/14/2006
2/24/2005
10/26/2006
7/11/2003
9/8/2005
9/8/2004
10/30/2003
4/9/2003
Canada
Canada
U.K.
Portugal
Portugal
Israel
Sweden
U.K.
Netherlands
U.K.
Netherlands
Mexico
Chile
Canada
Canada
Mexico
Germany
Japan
Finland
Mexico
U.K.
Luxembourg
Canada
New Zealand
New Zealand
Canada
Mexico
Israel
Belgium
Germany
Switzerland
Mexico
Germany
Japan
Toronto Stock Exchange
London Stock Exchange
Euronext Lisbon
Euronext Lisbon
Tel Aviv Stock Exchange
Stockholm Stock Exchange
Euronext Amersdam
Euronext Paris
Mexican Stock Exchange
Santiago Stock Exchange
Frankfurt Stock Exchange
Mothers Market (Tokyo Stock Exchange)
Helsinki Stock Exchange
None
Euronext Lisbon
New Zealand Stock Exchange
Euronext Brussels
OTC (Berliner Freiverkehr)
SWX Swiss Exchange
Tokyo Stock Exchange
Company name
Table IA.X, continued
Deregistration
Filing
Announcement
form type
date
date
Country of
domicile
Home trading market
U.K.
Canada
France
Luxembourg
Australia
U.K.
Sweden
Japan
Canada
U.K.
U.K.
Germany
Chile
U.K.
U.K.
Ireland
Israel
U.K.
Italy
Sweden
Germany
Sweden
New Zealand
New Zealand
Netherlands
U.K.
Luxembourg
France
U.K.
U.K.
France
Canada
Euronext Paris
Australian Stock Exchange
Irish Stock Exchange
Italian Stock Exchange
Euronext Paris
Euronext Paris
Euronext Paris
Panel A. Pre-Rule 12h-6 Deregistering Firms
Lastminute.com PLC
Leitch Technology Corp
LVMH Moet Hennessy Louis Vuitton
Metro International SA
Mintails (formerly Gaming and Ent. Group; Trans Global Interactive)
Mitchells & Butlers PLC
Modern Times Group MTG AB
Pioneer Corp (formerly Pioneer Electronic)
Polyair Inter Pack Inc
Premier Farnell PLC (formerly Farnell Electronics)
Provalis PLC (formerly Cortecs)
QSC AG
Quinenco SA
Rank Group PLC
Regus Group PLC
Riverdeep Group PLC
Robogroup TEK Ltd (formerly Eshed Robotec 1982)
RSA Insurance Group PLC (formerly Royal & Sun Alliance Group)
SAES Getters SPA
Scania AB
SYGNIS Pharma AG (formerly Lion Bioscience)
Tele2 AB (formerly Netcom AB)
Tenon Ltd (formerly Fletcher Challenge Forests)
Toll NZ Ltd (formerly Tranz Rail Holdings)
Trader Classified Media NV (formerly Trader.com)
Tradus (formerly QXL Ricardo PLC)
Transcom Worldwide SA
Transgene SA
United Business Media PLC (formerly United News and Media)
Vero Software PLC (formerly VI Group)
Vivendi SA (formerly Vivendi Universal)
Wescast Industries Inc
15-12G
15-12G
15-15D
15-12G
15-12G
15-12B
15-15D
15-12B
15-12G
15-12B
15-15D
15-12G
15-12B
15-12G
15-12G
15-12G
15-12G
15-15D
15-12G
15-15D
15-12G
15-12G
15-12G
15-12G
15-12G
15-12G
15-12G
15-15D
15-12G
15-12G
15-12B
15-12G
11/24/2004
6/27/2005
3/8/2004
12/23/2003
3/3/2003
8/24/2006
12/23/2003
12/18/2006
3/12/2007
7/1/2005
12/15/2005
5/13/2003
4/24/2007
4/6/2006
5/17/2004
10/16/2002
9/8/2005
1/8/2007
5/8/2003
1/29/2003
5/19/2005
6/29/2006
6/9/2005
10/28/2002
12/19/2002
3/31/2003
5/28/2003
4/3/2006
2/2/2006
5/12/2004
10/31/2006
7/1/2005
40
7/15/2004
6/27/2005
3/8/2004
12/11/2003
3/3/2003
4/13/2005
12/17/2003
12/18/2006
2/20/2007
12/9/2004
2/24/2005
5/13/2003
11/16/2006
7/1/2005
11/6/2002
10/17/2002
8/4/2005
9/28/2006
5/8/2003
1/29/2003
8/5/2004
6/30/2006
6/10/2005
10/25/2002
12/18/2002
2/26/2003
5/14/2003
10/12/2005
12/22/2004
5/12/2004
1/17/2006
6/16/2005
Company name
Deregistration
Filing
Announcement
form type
date
date
Country of
domicile
Home trading market
U.K.
France
Switzerland
Netherlands
Germany
Australia
Australia
Netherlands
Australia
Australia
Germany
Germany
Italy
U.K.
U.K.
U.K.
Canada
Switzerland
France
Canada
Italy
Germany
Portugal
Italy
Germany
Canada
Italy
France
France
U.K.
France
U.K.
Israel
Netherlands
France
Canada
Euronext Paris
SWX Swiss Exchange
Euronext Amsterdam
Euronext Amsterdam
SWX Swiss Exchange
Euronext Paris
Euronext Lisbon
Euronext Paris
Euronext Paris
Euronext Paris
Euronext Amsterdam
Euronext Paris
Panel B. Rule 12h-6 Deregistering Firms
Acambis PLC (formerly Peptide Therapeutics)
Air France-KLM
Adecco SA
Akzo Nobel NV
Altana
Amcor Ltd
Ansell Ltd
Arcadis NV (formerly Heidemij NV)
Atlas South Sea Pearl LTD (formerly Atlas Pacific)
Australia & New Zealand Banking Group Ltd
BASF AG
Bayer AG
Benetton Group SPA
BG Group PLC
British Airways PLC
Bunzl PLC
Canwest Global Communications Corp
Ciba Specialty Chemicals Holding Inc.
Dassault Systemes SA
Dorel Industries Inc
Ducati Motor Holding SPA
E On AG
EDP Energias De Portugal SA
Enel SPA
EPCOS AG
Extendicare REIT (formerly Extendicare Inc)
Fiat SPA
Genesys SA
Groupe Danone
Imperial Tobacco Group PLC
Infovista SA
International Power PLC (formerly National Power)
Koor Industries Ltd
KPN NV (Royal KPN)
Lafarge
LMS Medical Systems Inc
15F-12G
15F-12B
15F-12G
15F-12G
15F-12G
15F-12G
15F-12G
15F-12G
15F-12G
15F-12G
15F-12B
15F-12B
15F-12B
15F-12B
15F-12B
15F-12B
15F-12B
15F-12D
15F-12G
15F-12G
15F-12B
15F-12B
15F-12B
15F-12B
15F-15D
15F-12B
15F-12B
15F-12B
15F-12B
15F-12B
15F-12G
15F-12B
15F-12B
15F-12B
15F-12B
15F-12B
6/7/2007
2/7/2008
6/5/2007
9/28/2007
6/21/2007
6/4/2007
6/5/2007
6/9/2008
6/30/2008
7/13/2007
9/6/2007
9/28/2007
10/22/2007
9/21/2007
6/5/2007
6/6/2007
6/13/2007
7/20/2007
10/16/2008
4/1/2008
6/4/2007
9/10/2007
6/7/2007
12/20/2007
11/30/2007
6/4/2007
8/3/2007
6/4/2007
7/5/2007
9/12/2008
6/25/2007
6/28/2007
2/11/2008
4/4/2008
9/24/2007
6/6/2008
41
9/13/2006
11/22/2007
4/11/2007
7/24/2007
4/26/2007
5/2/2007
5/4/2006
5/16/2007
7/11/2007
6/20/2007
7/30/2007
9/5/2007
9/12/2007
7/25/2007
4/25/2007
5/1/2007
5/11/2007
6/26/2007
7/31/2008
4/1/2008
5/14/2007
8/21/2007
5/18/2007
11/29/2007
11/8/2007
6/4/2007
8/3/2007
5/10/2007
4/26/2007
7/24/2008
6/25/2007
6/6/2007
5/14/2007
12/17/2007
8/2/2007
6/4/2008
Company name
Deregistration
Filing
Announcement
form type
date
date
Country of
domicile
Home trading market
Taiwan
Chile
U.K.
Finland
Japan
Korea
South Africa
Australia
Venezuela
Japan
Norway
Netherlands
Hong Kong
Norway
Germany
France
France
Netherlands
France
Germany
U.K.
France
U.K.
U.K.
Finland
France
Switzerland
France
Austria
Norway
Netherlands
Netherlands
Japan
U.K.
Finland
U.K.
Sweden
Canada
U.K.
Taiwan Stock Exchange
AIM (London Stock Exchange)
OMX Nordic Exchange
Korea Exchange (KRX)
Johannesburg Stock Exchange
Caracas Stock Exchange
Oslo Stock Exchange
Euronext Amsterdam
Hong Kong Stock Exchange
Oslo Stock Exchange
Euronext Paris
Euronext Paris
Euronext Amsterdam
Euronext Paris
Euronext Paris
Oslo Stock Exchange
OMX Nordic Exchange
Euronext Paris
SWX Swiss Exchange
Euronext Paris
Vienna Stock Exchange
Oslo Stock Exchange
Euronext Amsterdam
Euronext Amsterdam
OMX Nordic Exchange
Panel B. Rule 12h-6 Deregistering Firms
Macronix International Ltd
MASISA SA (formerly Terranova)
Meldex International PLC (formerly Bioprogress)
Metso Corp (formerlyValmet-Rauma)
Millea Holdings Inc (formerly (Tokyo Marine and Fire)
Mirae Corporation
Naspers Ltd
National Australia Bank Ltd
National Telephone Co of Venezuela (CANTV)
NIS Group (formerly Nissin Company)
Norsk Hydro ASA
Oce NV (formerly Oce Van Der Grinten)
PCCW Ltd (formerly Pacific Century Cyberworks)
Petroleum Geo Services
Pfeiffer Vacuum Technology AG
Publicis Groupe SA
Rhodia
Royal Ahold NV
SCOR
SGL Carbon AG
Skyepharma PLC
Sodexho Alliance SA
Spirent Communications PLC
Stolt Nielsen SA
Stora Enso Corp
Suez (formerly Suez Lyonnaise Des Eaux)
Swisscom AG
Technip
Telekom Austria AG
Telenor ASA
Telstra Corp Ltd
TNT NV (formerly TPG NV)
Trend Micro Inc
United Utilities PLC
UPM Kymmene Corp
Vernalis PLC (formerly British Biotech)
Volvo AB
Westaim Corp
Wolseley PLC
15F-12G
15F-12B
15F-12G
15F-12B
15F-12G
15F-12G
15F-15D
15F-12B
15F-12B
15F-12G
15F-12B
15F-12G
15F-12B
15F-12B
15F-12B
15F-12B
15F-12B
15F-12B
15F-12B
15F-12B
15F-12G
15F-12B
15F-12B
15F-12G
15F-12B
15F-12B
15F-12B
15F-12B
15F-12B
15F-12G
15F-12B
15F-12B
15F-12G
15F-12B
15F-12B
15F-12G
15F-12G
15F-12G
15F-12B
10/29/2007
3/13/2008
6/18/2007
9/17/2007
7/30/2007
5/20/2008
6/8/2007
6/21/2007
6/30/2008
8/8/2008
11/29/2007
6/29/2007
6/4/2007
7/20/2007
10/4/2007
9/7/2007
9/28/2007
9/28/2007
6/4/2007
6/26/2008
6/4/2007
7/16/2007
6/5/2007
5/28/2008
1/7/2008
9/21/2007
9/4/2007
8/6/2007
6/5/2007
6/12/2007
6/4/2007
6/18/2007
6/27/2007
6/25/2007
12/6/2007
6/4/2007
12/13/2007
10/21/2008
1/2/2008
42
9/21/2007
2/20/2008
5/29/2007
7/26/2007
7/5/2007
3/7/2008
5/17/2007
5/10/2007
5/17/2007
7/14/2008
10/22/2007
6/29/2007
4/27/2007
6/26/2007
8/30/2007
9/7/2007
7/31/2007
8/29/2007
4/3/2007
3/26/2007
5/3/2007
5/30/2007
3/1/2007
5/28/2008
12/6/2007
8/29/2007
7/6/2007
7/25/2007
4/24/2007
5/22/2007
3/28/2007
5/29/2007
4/26/2007
5/30/2007
10/30/2007
4/24/2007
6/14/2007
10/20/2008
12/11/2007
Table IA.XI
Firms Excluded From the Final Sample
This table provides the list of non-U.S. firms that deregistered with the SEC, but are excluded from the sample. Prior to Rule 12h-6, we exclude 26 firms that
delisted / deregistered between 2002 and March 21, 2007. The table also lists 11 firms that delisted and deregistered prior to SOX and seven firms that delisted
prior to SOX and deregistered because they were acquired or we could not verify deregistration. After Rule 12h-6 we exclude 128 firms.
Excluded firms
Reason for exclusion
Panel A. Pre-Rule 12h-6 Period
Certicom Corp
Datalex PLC
Grupo Elektra SA de CV
Grupo IMSA SA de CV
IFCO Systems NV
Song Networks Holding AB (formerly Tele1 Europe)
Tatneft OAO
Telent PLC (formerly Marconi Corp)
TV Azteca SA de CV
Baltimore PLC (formerly Baltimore Technologies)
Cinram Income Fund (formerly Cinram International)
Quebecor Inc
Hilan Tech Ltd (formerly Teleweb Telegraph Comm)
SKF Inc
Swedish Match Corp
Telefonica Del Peru SAA
Teliasonera AB
Electrolux AB
Nera ASA
Virgin Express Holdings PLC
Carmel Container Systems
Electrochemical Industries (1952) Ltd (formerly
Electrochem Industries Frutarom)
Liquidation World Inc
Announced voluntary delisting and deregistration on June 12, 2002. The firm also announced a large loss and restructuring plan on that
date. On June 18, the firm received notice from NASDAQ that it would be delisted.
Announced voluntary delisting and there is no direct evidence that NASDAQ was going to delist the firm. However, a news article
mentions that the firm’s stock price was below $1 and that the firm was in the midst of a major restructuring plan.
Announced voluntary delisting and there is no direct evidence the firm had to leave. However, the firm’s controlling shareholder faced
charges brought by the SEC and the SEC was considering whether to prohibit the controlling shareholder from managing any publicly
traded firms on U.S. markets.
Announced voluntary delisting, but prior to the announcement the firm had received notice from NASDAQ that its shares were subject to
delisting as a result of the failure of the bid price of its ordinary shares to close at the minimum $1 per share for the period required under
NASDAQ rules.
Announced voluntary delisting, but prior to the announcement the firm received warning from NASDAQ that if the value of the firm’s
depositary receipts did not permanently rise above $1 the firm would be delisted.
Announced voluntary delisting in 2006. However, in 2004 the firm did not submit its annual report (Form 20F) to the SEC. The firm was
eventually given until July 2006 to submit the 20F to the SEC. It delisted in June 2006.
Announced voluntary delisting, but the announcement coincided with the firm’s proposed sale of the majority of its telecommunications
equipment and international services businesses.
Deregistered after SOX, but delisted prior to SOX; deregistered more than two years after delisting.
Deregistered after SOX, but delisted prior to SOX; deregistered more than two years after delisting; not in Worldscope.
Delisted in 2003, but deregistered under Rule 12h-6.
Deregistered more than two years after delisting.
Deregistered more than two years after delisting.
Not in Worldscope.
Voluntarily delisted in 2002; we cannot find a Form 15 on Edgar or on Thomson Research to verify deregistration; in 2004, three Israeli
banks filed for Electrochemical Industries to be placed in receivership.
Voluntarily delisted in 2003 and does not file anymore; we cannot find a Form 15 on Edgar or Thomson Research to verify deregistration.
43
Table IA.XI, continued.
Excluded firms
Panel A. Pre-Rule 12h-6 Period
Boardwalk Real REIT (formerly Boardwalk Equities)
CSK Corp (formerly CSK Holdings)
Kirin Brewery Company Ltd
Aegis Group PLC
Docdata NV
Ecsoft Group PLC
EPI Holdings (formerly Great Wall Cybertech / Electronic)
Grupo Movil Access SA de CV (formerly BIPER)
Israel Land Development Company Ltd
Mid-States PLC
Premium Brands Inc (formerly Fletcher Fine Foods)
Sky Network Television Ltd
Svenska Cellulosa Aktiebolaget (SCA)
Virgin Group PLC
Norcen Energy Resources Ltd
English China Clays PLC (formerly ECC Group)
Nord Pacific Ltd
Rigel Energy Corp (formerly Total Canada Oil & Gas)
Ramco Energy PLC
Russel Metals Inc (formerly Federal Industries)
Interactive Investor International PLC (formerly III)
Voluntarily delisted and deregistered prior to SOX.
Voluntarily delisted and deregistered prior to SOX
Voluntarily delisted in 1994; acquired by Union Pacific Resources Inc in 1998 and subsequently deregistered the securities.
Voluntarily delisted in 1997; press release states that it applied to the SEC to deregister its ordinary shares; we cannot find a Form 15 on
Edgar or Thomson Research to verify deregistration; acquired by Imetal (now Imerys) in 1999.
Voluntarily delisted in 1998; acquired by Allied Gold in 2004 and subsequently deregistered the securities.
Voluntarily delisted in 1998; acquired by Talisman in 1999 and subsequently deregistered the securities.
Voluntarily delisted in 2000 and said it would deregister 90 days later, but we cannot find a Form 15 on Edgar or on Thomson Research to
verify deregistration; continued filing with the SEC in connection with U.S. registered senior notes until it deregistered them in 2007.
Voluntarily delisted in 2001; was acquired by AMP later in 2001 and subsequently deregistered the securities.
44
Table IA.XI, continued
Excluded firms
Panel B. Rule 12h-6 Period
Hanaro Telecom Inc
ASE Test Ltd
Arizona Star Resource Corp
Bayer Schering Pharma AG
Xenova Group PLC
QUILMES Industrial SA
Northern Peru Copper Corp
Hawthorne Gold Corp
Inco Ltd
Pacific Asia China Energy Inc
Hanson Building Materials PLC (formerly Hanson)
Novatel Inc
Scottish Power PLC
Tyler Resources Inc
Merck Serono SA
TDC A/S
CDG Investments Inc
Fortel Inc
Action Energy Inc
SCOR Holding Ltd (formerly Converium Holding)
Corporate Express NV (formerly Buhrman NV)
ECI Telecom Ltd
Novamerican Steel Inc
Embratel Participacoes SA
Protherics PLC
Breakwater Resources Ltd
SR Telecom Inc
Petsec Energy Ltd
Unimarc Supermarkets Inc
Alstom
British Energy Group PLC
Electrolux AB
SKF Inc
Swedish Match Corp
Telefonica Del Peru SAA
Teliasonera AB
Announced voluntary delisting and there is direct evidence that the firm was forced to leave. There is a reference in news articles in 2006
that it had not been doing well and was restructuring. A subsequent news article in 2008 mentions that the firm was forced to leave.
Acquired by ASE Inc and deregistered as a result of the takeover.
Acquired by Barrick Gold and deregistered as a result of the takeover.
Acquired by Bayer and deregistered as a result of the takeover.
Acquired by Celtic Pharma Development and deregistered as a result of the takeover.
Acquired by Companhia de Bebidas das Americas (AmBev) (now Anheuser-Busch InBev) and deregistered as a result of the takeover.
Acquired by Copper Bridge Acquisition Corp and deregistered as a result of the takeover.
Acquired by Cusac Gold Mines Ltd and deregistered as a result of the takeover.
Acquired by CVRD and deregistered as a result of the takeover.
Acquired by GREKA China Ltd and GREKA Acquisitions Ltd and deregistered as a result of the takeover.
Acquired by HeidelbergCement AG and deregistered as a result of the takeover.
Acquired by Hexagon Canada Acquisition Inc and deregistered as a result of the takeover.
Acquired by Iberdrola and deregistered as a result of the takeover; also deregistered debt securities.
Acquired by Jinchuan Group and deregistered as a result of the takeover.
Acquired by Merck KGaA and deregistered as a result of the takeover.
Acquired by Nordic Telephone Company and deregistered as a result of the takeover.
Acquired by Preo Software and deregistered as a result of the takeover.
Acquired by QuStream and deregistered as a result of the takeover.
Acquired by Rolling Thunder and deregistered as a result of the takeover.
Acquired by SCOR and deregistered as a result of the takeover.
Acquired by Staples and deregistered as a result of the takeover.
Acquired by Swarth Group and deregistered as a result of the takeover.
Acquired by Symmetry Holdings Inc and deregistered as a result of the takeover.
Acquired by Telefonos de Mexico and deregistered as a result of the takeover.
Acquired by Therapeutic Antibodies Inc and deregistered as a result of the takeover.
Delisted by NASDAQ for violating listing standards; moved to the OTC market and subsequently deregistered.
Delisted by NASDAQ for violating listing standards; moved to the OTC market and subsequently deregistered.
Delisted by the NYSE for violating listing standards; moved to the OTC market and subsequently deregistered.
Delisted by the NYSE for violating listing standards; moved to the OTC market and subsequently deregistered.
Delisted by the NYSE for violating listing standards; previously filed form 15 and deregistered the subject securities.
Delisted by the NYSE for violating listing standards; previously filed form 15 and deregistered the subject securities.
Deregistered under Rule 12h-6, but delisted prior to Rule 12h-6 period; delisted more than two years before deregistration.
45
Excluded firms
Aerco Ltd
AES Gener Inc
Ainsworth Lumber Co Ltd
Aurelia Energy NV
BELL Canada
Camboriu Cable System de Telecomunicacoes Ltd
Cemex, SAB de CV
Commercial Cable TV Sao Paulo Ltd
Concordia Bus AB
Concordia Bus Finland OY AB
Concordia Bus Nordic AB
Concordia Bus Nordic Holding AB
Gracechurch Card Funding No 6 PLC
Hanson Australia Funding Ltd
Jean Coutu Group (PJC) Inc
Kowloon Canton Railway Corp
MTR Corp LTD
Norbord Inc
OSLO Challenger PLC
OSLO Explorer PLC
OSLO Seismic Services Inc
PGS Geophysical AS
Russel Metals Inc
Smurfit Kappa Funding PLC
Tevecap SA
TVA Communications Ltd
TVA Parana Ltd
Shaw Communications Inc
Third Century Bancorp
ACE Aviation Holdings Inc.
Intesa Sanpaolo SPA
East Energy Corp (fomerly Gobi Gold)
Gemalto NV
Coolbrands International Inc
Genterra Inc
BTG PLC
Iberdrola SA
Vecima Networks Inc
Deregistered debt securities only.
Deregistered preferred shares only; common shares are still listed on the NYSE.
Filing under Rule 12g-4(a), a pre-existing Rule; the Rule change has no bearing on the decision to deregister.
Holding company from Air Canada court-supervised restructuring; was terminated and distributed its assets to shareholders.
Merger between Intesa and Sanpaolo IMI; Sanpaolo IMI's securities were deregistered as a result of the merger.
Never listed on a U.S. exchange.
Never listed on a U.S. exchange; successor registrant after acquiring Gemplus (registered); subsequently deregistered.
Never listed on a U.S. exchange; successor registrant after acquiring Integrated Brands (registered); subsequently deregistered.
Never listed on a U.S. exchange; successor registrant after acquiring Mirtronics (registered); subsequently deregistered.
Never listed on a U.S. exchange; successor registrant after acquiring Protherics; subsequently deregistered.
Never listed on a U.S. exchange; successor registrant after acquiring Scottish Power; subsequently deregistered.
Never listed on a U.S. exchange; successor registrant after acquiring Spectrum Signal Processing (registered); subsequently deregistered.
46
Excluded firms
Sopheon PLC (formerly Polydoc)
Telecom Italia Media SPA
Never listed on a U.S. exchange; successor registrant after acquired Teltech (registered); subsequently deregistered.
Never listed on a U.S. exchange; acquired Tin.it (owned by Telecom Italia) and offered ordinary shares to Telecom Italia's shareholders in
the US; subsequently deregistered the securities.
Arcelor Brasil (formerly Belgo-Mineira Steel)
Daiichi Sankyo Company Ltd
ETZ Lavud Ltd
Eurotrust A/S
Advanced Proteome Therapeutics Corp
Alamos Gold Inc
Atlanta Gold Inc (formerly Twin Mining)
Berkley Resources Inc
Candente Resource Corp
CLP Holdings Ltd
Commonwealth Bank Of Australia
Crew Gold Corp
El Nino Ventures Inc
Euro Disney SCA
Evolving Gold Corp
Farallon Resources Ltd
Gentry Resources Ltd
Guildhall Minerals Ltd
Halo Resources Ltd
J Pacific Gold Inc
Kirkland Lake Gold Inc
Lund Gold Ltd
OSI Geospatial Inc (formerly Offshore Systems Int’l)
PivX Solutions Inc
Resin Systems Inc
Rolling Thunder Exploration Ltd
Sonic Technology Solutions Inc
Southwestern Resources Corp
Vannessa Ventures Ltd
Wealth Minerals Ltd
Zoloto Resources Ltd
Cookson Group PLC
Pernod Ricard SA
Autonomy Corp PLC
Cable & Wireless PLC
Never listed on a U.S. exchange; merger between Belgo-Mineira, Companhia Siderurgica de Tubarao, and Vega do Sul.
Never listed on a U.S. exchange; merger between Daiichi Pharmaceutical and Sankyo Company.
No data in Worldscope.
No data in Worldscope or Datastream.
OTC listed, but never listed on a U.S. exchange.
OTC listed, but never listed on a U.S. exchange; previously filed form 15 and deregistered the subject securities.
OTC listed, but never listed on a U.S. exchange; previously filed form 15 and deregistered the subject securities.
Previously filed form 15 and deregistered the subject securities (included in Pre-Rule 12h-6 sample).
47
Excluded firms
Cinram International Income Fund (formerly Cinram Int’l)
Colt Telecom Group PLC
Dialog Semiconductor PLC
Enodis PLC (formerly Berisford)
Fletcher Building Ltd (formerly Fletcher Challenge)
ICOS Vision Systems Corp NV
Mitchells & Butlers PLC
OAO Tatneft
Premier Farnell PLC (formerly Farnell Electronics)
Rank Group PLC
RSA Insurance Group PLC (formerly Royal & Sun)
Tenon Ltd (formerly Fletcher Challenge Forests)
United Business Media PLC
Vivendi SA (formerly Vivendi Universal)
Imperial Chemical Industries PLC
Havas SA
Coles Group Ltd (formerly Coles Myer)
Previously filed form 15 and deregistered the subject securities.
Received and rejected a takeover bid just prior to Form 15F filing; subsequently acquired by Akzo Nobel NV.
Received notice of non-compliance with listing standards from NASDAQ and then announced voluntary delisting; previously filed Form 15.
Voluntarily delisted from the NYSE in 2006; became an acquisition target prior to deregistration; subsequently acquired by Wesfarmers.
48

Internet Appendix for Why Do Foreign Firms Leave U.S. Equity

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